The generalized Epstein?Zin-utility functional is based on the idea of a discounted certainty equivalent. One possible form

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The generalized Epstein?Zin-utility functional is based on the idea of a discounted certainty equivalent. One possible form is

Is this functional time separable if the utility function is u(c) = ?c and ? = 1/2?

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 09:07 AM

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The generalized Epstein?Zin-utility functional is based on the idea of a discounted certainty equivalent. One possible form

Question:

U[C]=(% + e"u"*(E[u«C))|

Step by Step Answer:

Yes this functional is time separ able if the utility f...View the full answer

A First Course in Quantitative Finance

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