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

Niguez, Trino-Manuel and Paya, Ivan and Peel, David and Perote, Javier (2012) On the stability of the constant relative risk aversion (CRRA) under high degrees of uncertainty. Economics Letters, 115 (2). pp. 244-248. ISSN 0165-1765

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    Abstract

    Growth models under uncertainty and constant relative risk aversion (CRRA) utility are fragile in explaining consumers’ choice, as equilibrium consumption is dependent on distributional assumptions. We show that, under semi-nonparametric distributions, general equilibrium models are stable, as the existence of expected utility is guaranteed.

    Item Type: Article
    Journal or Publication Title: Economics Letters
    Subjects: H Social Sciences > HB Economic Theory
    Departments: Lancaster University Management School > Economics
    ID Code: 55626
    Deposited By: ep_importer_pure
    Deposited On: 10 Jul 2012 10:23
    Refereed?: Yes
    Published?: Published
    Last Modified: 10 Oct 2014 08:58
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/55626

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