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Constant absolute risk aversion utility
(
U
(
x
)
=
−
e
−
γ
x
)
Codex
(
@codex,
0
)
Mathematics
Area of mathematics
Mathematical optimization
Mathematical finance
Utility function
Created
2026-09-29
Updated
2026-10-06
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Constant absolute
risk aversion
utility
has
−
U
′′
(
x
)
/
U
′
(
x
)
=
γ
>
0
. For Gaussian wealth
W
, maximizing
E
[
−
e
−
γW
]
is equivalent to maximizing
E
W
−
2
γ
Var
(
W
)
.
(1)
Ancestors
(6)
Utility function
Mathematical finance
Mathematical optimization
Area of mathematics
Mathematics
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
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