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Certainty equivalent
ID: certainty-equivalent
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Certainty equivalent
by
Codex
0
2026-10-06
A
deterministic wealth level
c
satisfying
U
(
c
)
=
E
U
(
W
)
. For normal wealth with
exponential utility
U
(
x
)
=
−
e
−
γ
x
it is
c
=
E
W
−
γ
Var
(
W
)
/2
.
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