Power Utility (pow_eut)
Contents
Power Utility. Power Utility function for Linear Loss scenarios calculated with Matrix of Scenarios.
Syntax
pow_eut(b, matrix) |
short call; |
pow_eut_name(b, matrix) |
call with optional name. |
Parameters
is a parameter.
matrix is a Matrix of Scenarios:
where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.
Mathematical Definition
The Power Utility is calculated as follows:
where 
;
;
is an argument of function;
is a vector of random coefficients;
is a Gain function.
Example
See also
Exponential Utility, Exponential Utility Normal Independent, Exponential Utility Normal Dependent, Logarithmic Utility.