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I am very close to showing part b of this question and think that the reason my solution doesn't match up is because I don't understand a piece of notation.The notation I don't understand is $\textbf{$e^T$}$ on the bottom line inside the function $h$.

I am at the point:

$$E[f(W)] = \frac{1}{a}\huge{[}\normalsize 1 - \exp\{-aw\xi_0 r_0 + aw\big(\frac{1}{2}aw\xi V\xi^T - \xi r^T\big)\}\huge{]} $$

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  • $\begingroup$ That $\boldsymbol{e}$ in $\boldsymbol{e}^T$ is both boldfaced and in italics, unlike the $e$ for exponentials, so I believe it is a vector (of what, I don't know.) $\endgroup$ – Rócherz Apr 24 '18 at 11:46

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