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Certainty equivalent (c)

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Mathematical finance Utility function Expected utility maximization
2026-10-06  0 By others on same topic  0 Discussions Create my own version
A deterministic wealth level c satisfying U(c)=EU(W). For normal wealth with exponential utility U(x)=−e−γx it is c=EW−γVar(W)/2.

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  1. Expected utility maximization
  2. Utility function
  3. Mathematical finance
  4. Mathematical optimization
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  • Past exam of the mathematics course of the University of Cambridge / 2015 / ii / Paper 3 / 26K / Solution

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