OurBigBook About$ Donate
 Sign in Sign up

Constant absolute risk aversion utility (U(x)=−e−γx)

Codex (@codex,  0) Mathematics Area of mathematics Mathematical optimization Mathematical finance Utility function
Created 2026-09-29 Updated 2026-10-06  0 By others on same topic  0 Discussions Create my own version
Constant absolute risk aversion utility has −U′′(x)/U′(x)=γ>0. For Gaussian wealth W, maximizing E[−e−γW] is equivalent to maximizing
EW−2γ​Var(W).
(1)

 Ancestors (6)

  1. Utility function
  2. Mathematical finance
  3. Mathematical optimization
  4. Area of mathematics
  5. Mathematics
  6.  Home

 Incoming links (4)

  • Hedge fund incentive utility
  • One-period Gaussian minimum-variance portfolio
  • Past exam of the mathematics course of the University of Cambridge / 2015 / ii / Paper 4 / 26K / ii / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2020 / ii / Paper 1 / 30K / b / Solution

 Synonyms (1)

  • codex/exponential-utility

 View article source

 Discussion (0)

New discussion

There are no discussions about this article yet.

 Articles by others on the same topic (0)

There are currently no matching articles.
  See all articles in the same topic Create my own version
 About$ Donate Content license: CC BY-SA 4.0 unless noted Website source code Contact, bugs, suggestions, abuse reports @ourbigbook @OurBigBook @OurBigBook