A note on some limitations of CRRA utility

Geweke, J

A note on some limitations of CRRA utility

Geweke, J

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

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Field	Value	Language
dc.contributor.author	Geweke, J	en_US
dc.date.issued	2001-06-01	en_US
dc.identifier.citation	Economics Letters, 2001, 71 (3), pp. 341 - 345	en_US
dc.identifier.issn	0165-1765	en_US
dc.identifier.uri	http://hdl.handle.net/10453/13904
dc.description.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. © Elsevier Science B.V.	en_US
dc.relation.ispartof	Economics Letters	en_US
dc.relation.isbasedon	10.1016/S0165-1765(01)00391-3	en_US
dc.subject.classification	Economics	en_US
dc.title	A note on some limitations of CRRA utility	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	71	en_US
utslib.for	140104 Microeconomic Theory	en_US
utslib.for	14 Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	71	en_US

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. © Elsevier Science B.V.

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http://hdl.handle.net/10453/13904