2020-11-02

9.3

与式

V(x) = c + bU(x)

を微分すると

V'(x) = bU(x)'
V''(x) = bU(x)''

よって、V(x)のリスク回避係数は、

-V''(x) / V(x)' = -bU(x)'' / bU(x)' = -U(x)''/ U(x)' = a(x)

history

2020-11-02 create.