On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty (Q433181): Difference between revisions

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-David A. Peel
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+David A. Peel
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+MaRDI publication profile
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+W2157050408
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+Asset pricing with incomplete information and fat tails
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+Is the market price of risk infinite?
@@ Property / cites work: Is the market price of risk infinite? / rank @@
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+Semi-Nonparametric Maximum Likelihood Estimation
@@ Property / cites work: Semi-Nonparametric Maximum Likelihood Estimation / rank @@
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+A note on some limitations of CRRA utility
@@ Property / cites work: A note on some limitations of CRRA utility / rank @@
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+Gram-Charlier densities.
@@ Property / cites work: Gram-Charlier densities. / rank @@
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+Q4124106
@@ Property / cites work: Q4124106 / rank @@
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+Production, growth and business cycles: Technical appendix
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+Learning, Structural Instability, and Present Value Calculations
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+On the existence of expected utility with CRRA under STUR
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