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Consumption is a linear combination of multivariate normal payoffs so that consumption is normal as well.
With multivariate normal payoffs, I have to relax the assumption of a finite and discrete payoff space.
For a non-zero risk-free rate, I show that exponential utility and multivariate normal payoffs lead to a pair of economies with equal prices.
It turns out that for exponential utility with multivariate normal payoffs, capital gains taxes under the tax system described herein do not influence asset prices at all.
Without a zero risk-free rate but with exponential utility (CARA utility) and multivariate normal payoffs there is again an equilibrium that is consistent with unchanged prices.
Furthermore, for an exogenous non-zero risk-free rate, I show that exponential utility with multivariate normal payoffs, as well as linear marginal utility leave prices unchanged.
Similar(51)
Log daily wages follow a multivariate normal distribution also within each of the ten occupation categories.
The results reveal that the proposed method gives better results depending on whether or not the data set is multivariate normal even though multivariate analyses require checking the multivariate normality.
Review of multivariate normal distribution theory.
Multivariate distributions: joint, conditional, and marginal distributions, independence, transformations, Multinomial, Multivariate Normal.
The multivariate p.d.f of load cycles is modelled with a mixture of multivariate normal functions.
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Justyna Jupowicz-Kozak
CEO of Professional Science Editing for Scientists @ prosciediting.com