Hi, I am struggling to make any progress on solving this optimisation question on the Grossman and Miller model. Any help would be greatly appreciated
The key to solve this model is the optimization question below. arg max Exp [exp^(−ax)] in which x ∼ N (µ, σ^2 ). Can you solve this optimization question?
you're also given the PDF φ ( x; µ, σ^2 ) = 1/√ 2πσ^2 * e^ − (x−µ)^2/(2σ^2)
The key to solve this model is the optimization question below. arg max Exp [exp^(−ax)] in which x ∼ N (µ, σ^2 ). Can you solve this optimization question?
you're also given the PDF φ ( x; µ, σ^2 ) = 1/√ 2πσ^2 * e^ − (x−µ)^2/(2σ^2)