Logarithmic Utility (log_eut)
Contents
Logarithmic Utility. Log Utility function for Linear Loss scenarios calculated with Matrix of Scenarios.
Syntax
log_eut(matrix) |
short call; |
log_eut_name(matrix) |
call with optional name. |
Parameters
matrix is a 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.
Mathematical Definition
The Logarithmic 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 Logarithmic Utility
See also
Exponential Utility, Exponential Utility Normal Independent, Exponential Utility Normal Dependent, Power Utility.