A Note on Some Limitations of CRRS Utility
- Taylor and Francis Group
- Publication Type:
- Journal Article
- Economic Letters, 2001, 71 (3), pp. 341 - 345
- Issue Date:
Abstract: In a standard environment for choice under uncertainty with constant relative risk aversion (CRRA), the existence of expected utility is fragile with respect to changes in the distributions of random variables, changes in prior information, or the assumption of rational expectations.
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