Assume that the risky returns are jointly normal and use the method of Lagrange multipliers to find

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Assume that the risky returns are jointly normal and use the method of Lagrange multipliers to find the optimal location on the MVF for an investor with exponential utility, that is, maximize $\mu-c \sigma^{2} / 2$ subject to

\[\frac{\sigma^{2}}{c_{\sigma}^{2}}-\frac{\left(\mu-\mu_{0}ight)^{2}}{c_{\mu}^{2}}=1\]

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Mathematical Techniques In Finance An Introduction Wiley Finance

ISBN: 9781119838401

1st Edition

Authors: Amir Sadr

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Question Posted: Feb 27, 2024 03:11 AM

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Assume that the risky returns are jointly normal and use the method of Lagrange multipliers to find

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Mathematical Techniques In Finance An Introduction Wiley Finance

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