A note on some limitations of CRRA utility

Publication Type:
Journal Article
Citation:
Economics Letters, 2001, 71 (3), pp. 341 - 345
Issue Date:
2001-06-01
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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. © Elsevier Science B.V.
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