申論題 - 阿摩線上測驗

申論題資訊

試卷：106年 - 106 年 - 106 國立臺灣大學_碩士班招生考試_國際企業研究所乙組:微積分(C)#114292
科目：台大◆企管◆微積分(C)
年份：106年
排序：0

題組內容

6. (35%) Let w_T denote the terminal wealth of a uni-dollar investment after T periods. Consider two possible cumulative distribution functions (CDFs) for w_T as follows.
where N(μ, σ²) represents the normal distribution with the mean to be u and the variance to be σ². For any utility function U'(•) ≥ 0, the expected utility under F or G is

Last，Φ(c)≡

dx is the CDF for the standard normal distribution. where M is a positive constant, and the expected utility under F is

6.3 (20%) Consider a utility function

where M is a positive constant, and the expected utility under F is

申論題內容

6.3.2 (10%) If II can be expressed as M[aΦ(β) + γe^-δ2/2], what are a, β,γ, and δ?