Question
An investor has the following CRRA utility function: U(W) = 2W 0.5 . She would like to maximize expected utility of terminal wealth. Her current
An investor has the following CRRA utility function: U(W) = 2W0.5. She would like to maximize expected utility of terminal wealth. Her current portfolio will lead to a terminal wealth of $100 thousand with probability 0.35 and $1 million with probability 0.65. Find the certainty equivalent wealth?
$511,100
$578,633
$653,243
$989,992
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Financial Modeling Using Excel And VBA
Authors: Chandan Sengupta
1st Edition
0471267686, 978-0471267683
