Satchell, Stephen; Damant, David; Hwang, Soosung - In: Applied Mathematical Finance 7 (2000) 2, pp. 127-152
In the paper the exponential risk measure of Damant and Satchell is used to formulate an investor's utility function and the properties of this function are investigated. The utility function is calibrated for a typical UK investor who would hold different proportions of equity. It is found...