On the existence of expected utility with CRRA under STUR

DOI10.1016/j.econlet.2003.09.030zbMath1254.91154OpenAlexW2031645345MaRDI QIDQ1927488

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)

Related Items

On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

Cites Work

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• Solving asset pricing models with Gaussian shocks
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• 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
• Asset Prices in an Exchange Economy
• A note on some limitations of CRRA utility