CERTAIN (CASH) EQUIVALENT
VALUE FUNCTIONS

for

EXPONENTIAL UTILITY

INFORMS NATIONAL CONFERENCE

New Orleans, LA - Oct 29 - Nov 1, 1995

PRESENTATION OUTLINE

1. CERTAIN EQUIVALENT CONCEPT

2. DELTA PROPERTY & VALUE ADDITIVITY

3. EXPONENTIAL UTILITY

4. RISK TOLERANCE

5. CE FUNCTIONS

6. CONCEPT GENERALIZATIONS
   CE-dominance, CEVPI, CEVSI

7. PORTFOLIO OPTIMIZATION BACKTEST RESULTS

8. CE FUNCTIONS DEVELOPED NOW
   On-line CE Value Calculator
   VBA/Visual Basic DLL

9. CONCLUSIONS