pfhedge.nn.functional.exp_utility

pfhedge.nn.functional.exp_utility(input, a=1.0)

Applies an exponential utility function.

An exponential utility function is defined as:

\[u(x) = -\exp(-a x) \,.\]

Parameters

• input (torch.Tensor) – The input tensor.

• a (float, default=1.0) – The risk aversion coefficient of the exponential utility.

Returns

torch.Tensor