5781金融与交易简单数值题short

Expected Cost Of Holding An Adverse Position

题目

A desk values the risk cost of carrying inventory over one holding period as (gamma/2)*sigma^2*q^2, where gamma = 0.04 is risk aversion, sigma = 2.0 is the per-period price volatility, and q is the position in lots. You are stuck long q = 30 lots. What is the expected risk cost of holding this position for one period?

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