Understanding Risk-Aversion through Utility Theory
From the section on CRRA Utility, we know we need to maximize: r + ˇ( r) ˇ2˙2 2 + ˇ2˙2(1 ) 2 = r + ˇ( r) ˇ2˙2 2 So optimal investment fraction in risky asset ˇ = r ˙2 Ashwin Rao (Stanford) Utility Theory February 3, 2020 14/14
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