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

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

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Official URL: http://dx.doi.org/10.1016/j.econlet.2011.12.049

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
Subjects: University of Westminster > Westminster Business School
Depositing User: Rachel Wheelhouse
Date Deposited: 05 Nov 2012 14:38
Last Modified: 05 Nov 2012 14:38
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/11477

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