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

DOI10.1016/J.ECONLET.2011.12.049zbMATH Open1242.91067OpenAlexW2157050408MaRDI QIDQ433181FDOQ433181

Ivan Paya, David Peel, Trino-Manuel Ñíguez, Javier Perote

Publication date: 13 July 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/55626/1/10.pdf

zbMATH Keywords

rational expectationsBayesian learningsemi-nonparametric distributions

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• Semi-Nonparametric Maximum Likelihood Estimation
• Title not available (Why is that?)
• Production, growth and business cycles: Technical appendix
• A note on some limitations of CRRA utility
• Gram-Charlier densities.
• Is the market price of risk infinite?
• Asset pricing with incomplete information and fat tails
• On the existence of expected utility with CRRA under STUR
• Learning, Structural Instability, and Present Value Calculations

Cited In (1)

• Gram-Charlier densities: maximum likelihood versus the method of moments

   Recommendations

• A note on some limitations of CRRA utility 👍 👎
• On the existence of expected utility with CRRA under STUR 👍 👎
• Dynamic choice with constant source-dependent relative risk aversion 👍 👎
• Expected utility and catastrophic consumption risk 👍 👎
• Consumption paths under prospect utility in an optimal growth model 👍 👎

This page was built for publication: On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q433181)