# Tag Info

## Hot answers tagged financial-economics

3

The equality in question follows from the expression for expectation of a log-normal distribution. For example, if $X \stackrel{d}{\sim} N(\mu, \sigma^2)$, then $$E[e^{a X}] = e^{a \mu + \frac12 a^2 \sigma^2}.$$ This is the reason that CARA/normal or CRRA/log-normal (agent utility/asset return distribution pair) set-ups reduce to the mean-variance case, up ...

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