Níguez, Trino Manuel and Paya, Ivan and Peel, David and Perote, Javier (2011) On the stability of the CRRA utility under high degrees of uncertainty. Working Paper. Lancaster University Management School.Full text not available from this repository.
Economic growth models under uncertainty and rational agents with CRRA utility have been shown to provide quite fragile explanations of consumers.choice as equlib- rium comsumption paths (expected utility) are drastically dependant on distributional assumptions. We show that assuming a SNP distribution for random consumption provides stability to general equilibrium models as expected utility exists for any value of the marginal rate of substitution over time.
|Item Type:||Monograph (Working Paper)|
|Additional Information:||Working Paper 007201|
|Subjects:||University of Westminster > Westminster Business School|
|Depositing User:||Rachel Wheelhouse|
|Date Deposited:||05 Nov 2012 14:30|
|Last Modified:||16 Jan 2013 14:48|
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