A note on the admissibility of relative to the linex loss function

The purpose of this note is to give a correct proof of a result in Rojo (1987). Let 2 be the mean of a random sample of size n from a normal 2 distribution with unknown mean 0 and known variance o . Following earlier work by Zellner (1986), Rojo (1987) considered the admissibility of the linear estimator c; + d relative to Variants (1975) asymmetric LINEX loss function