PowerUtility_con_3: Sum of 3 concavified Power Utility functions (different risk...

In belangerjulie15/Optimisation.Power.Utility: Functions: Optimizing with the Power Utility

Description

Sum of 3 concavified Power Utility functions (different risk aversion)

Usage

PowerUtility_con_3(gamma1, gamma2, gamma3, b, a, K, x)

Arguments

gamma1	Paramater Gamma 1 in the Power Utility function. Must be different than 0.
gamma2	Paramater Gamma 2 in the Power Utility function. Must be different than 0.
gamma3	Paramater Gamma 3 in the Power Utility function. Must be different than 0.
b	The strike price of the call option (variable annuity)
a	The multiplicator factor of the call option (variable annuity)
K	The constant that is added to the payoff (equal to b_o most of the time)
x	Risky asset value at time t

Value

The total concavified utility coresponding to the asset value

Examples

PowerUtility_con_3(gamma1=2,gamma2=4,gamma3=5,b=1,a=1,K=1,x=1.6)

belangerjulie15/Optimisation.Power.Utility documentation built on May 13, 2020, 5:39 a.m.