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

DOI10.1016/J.ECONLET.2011.12.049MaRDI QIDQ433181zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• A note on some limitations of CRRA utility
• On the existence of expected utility with CRRA under STUR
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Cites work

• scientific article; zbMATH DE number 3549968 (Why is no real title available?)
• A note on some limitations of CRRA utility
• Asset pricing with incomplete information and fat tails
• Gram-Charlier densities.
• Is the market price of risk infinite?
• Learning, Structural Instability, and Present Value Calculations
• On the existence of expected utility with CRRA under STUR
• Production, growth and business cycles: Technical appendix
• Semi-Nonparametric Maximum Likelihood Estimation

Cited in

(2)

• On the existence of expected utility with CRRA under STUR
• Gram-Charlier densities: maximum likelihood versus the method of moments

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