I have a question concerning the idea of consumption in multi period. The following is given $$C_1=W_0-xS_1+B$$ $$C_2=xS_2-BR$$ where $W_0$ is initial wealth $x$ is the weight on an asset with ...
I have distribution for cost of two alternative through Monte Carlo simulation. The distributions are not normal. Given the benefit of the two alternatives is the same but ungiven, I want to choose ...
The problem is from Asset Pricing and Portfolio Theory by Back and can be found here. The relevant info from section 2.5 can be found here. Given that we have the Expected value and the variance of ...