Exponential Utility (exp_eut)
Contents
Exponential Utility function for Linear Loss scenarios calculated with Matrix of Scenarios.
Syntax
exp_eut(α, matrix) |
short call |
exp_eut_name(α, matrix) |
call with optional name |
Parameters
matrix is matrix of scenarios (see Matrix or 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.
is confidence level.
Short Mathematical Definition
The Exponential Utility is calculated as follows:
where
;
is an argument of function;
is a vector of random coefficients;
is a Gain function.
Example
Case Studies with Exponential Utility
See also
Exponential Utility Normal Independent, Exponential Utility Normal Dependent, Logarithmic Utility, Power Utility.