2033数学中等derivationmedium
Certainty-Equivalent Return From Expected Log Growth 13
题目
A strategy produces one-period returns of 0% or 60%, each with probability 1/2 on one dollar of wealth. Compute E[ln(1+R)] and the certainty-equivalent constant return r_ce satisfying ln(1+r_ce)=E[ln(1+R)].
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