On the existence of expected utility with CRRA under STUR

DOI10.1016/J.ECONLET.2003.09.030zbMATH Open1254.91154OpenAlexW2031645345MaRDI QIDQ1927488FDOQ1927488

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

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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)

Cites Work

• An introduction to stochastic unit-root processes
• Asset Prices in an Exchange Economy
• A note on some limitations of CRRA utility
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Title not available (Why is that?)
• Solving asset pricing models with Gaussian shocks
• Exact solution of asset pricing models with arbitrary shock distributions

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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