Supposons un consommateur ayant une richesse W qui est distribue selon une loi de densit de...
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Supposons un consommateur ayant une richesse W qui est distribue selon une loi de densit de probabilit fw (w). Montrez qu'on peut obtenir une approximation du cot du risque, CR, en utilisant: 1 CRrr (w) CVwow o rr (w) est le coefficient d'aversion relative au risque mesur w, w est la moyenne de la richesse, CVw, son coefficient de variation et ow, son cart-type. Supposons un consommateur ayant une richesse W qui est distribue selon une loi de densit de probabilit fw (w). Montrez qu'on peut obtenir une approximation du cot du risque, CR, en utilisant: 1 CRrr (w) CVwow o rr (w) est le coefficient d'aversion relative au risque mesur w, w est la moyenne de la richesse, CVw, son coefficient de variation et ow, son cart-type.
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