Exponential Utility Normal Dependent (exp_eut_nd)
Contents
Exponential Utility Normal Dependent. Exponential Utility function for Linear Loss with mutually dependent normally distributed random coefficients.
Syntax
exp_eut_nd( |
short call; |
exp_eut_nd_name( |
call with optional name. |
Parameters
matrix_mn is a PSG matrix of mean values:
where the header row contains names of variables. The second row contains numerical data.
matrix_cov is a PSG matrix of covariance values:
where the header row contains names of variables. Other rows contain numerical data.
is a confidence level.
Mathematical Definition
The Exponential Utility Normal Dependent is calculated as follows:
where
,
,
is a Gain function.
is an argument of function.
Example
See also
Exponential Utility, Exponential Utility Normal Independent, Logarithmic Utility, Power Utility.