On the existence of expected utility with CRRA under STUR

DOI10.1016/J.ECONLET.2003.09.030MaRDI QIDQ1927488zbMATH OpenOpenAlexFDO

Authors Gawon Yoon

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2003.09.030

zbMATH Keywords

expected utilitystochastic unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 3447208 (Why is no real title available?)
• A note on some limitations of CRRA utility
• An introduction to stochastic unit-root processes
• Asset Prices in an Exchange Economy
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Exact solution of asset pricing models with arbitrary shock distributions
• Solving asset pricing models with Gaussian shocks

Cited in

(2)

• On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
• A note on some limitations of CRRA utility

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