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

DOI10.1016/j.econlet.2011.12.049zbMath1242.91067OpenAlexW2157050408MaRDI QIDQ433181

Ivan Paya, Trino-Manuel Ñíguez, Javier Perote, David A. 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

Bayesian learningrational expectationssemi-nonparametric distributions

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (1)

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

Cites Work

• Unnamed Item
• Semi-Nonparametric Maximum Likelihood Estimation
• Is the market price of risk infinite?
• Asset pricing with incomplete information and fat tails
• Production, growth and business cycles: Technical appendix
• On the existence of expected utility with CRRA under STUR
• Learning, Structural Instability, and Present Value Calculations
• A note on some limitations of CRRA utility
• Gram-Charlier densities.

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