※ 引述《wildfly (工作很难找捏!)》之铭言： : 某研究所97年考题 : 题目如下 : Consider the exponential utility function -exp(-ρc).Show that it is : increasing (u'>0) and concave (u"<0) for all c>0 as long as ρ>0,that is, : as long as that agent is risk-averse.Show that this function has constant : absolute risk aversion coefficient γA given by ρ. : 这题我看了好久 : 在想是不是要求风险値 : 无奈一直不知道从何下笔 : 而这题後面还有延伸其他小题 u' = ρexp(-ρc) u" = -ρ^2exp(-ρc) 所以当 ρ>0 时, u'>0 and u"<0. Absolute risk aversion coefficient = -u"/u' = ρ, which is a constant given by ρ. : 1-ρ : C : 2) ------- ,ρ≠1 3) ln(c) : 1-ρ : 恳请版上的高手能提点一下 : 感谢。 一样 --

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