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A note on some limitations of CRRA utility
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Cited by:
- Assa, Hirbod & Zimper, Alexander, 2018.
"Preferences over all random variables: Incompatibility of convexity and continuity,"
Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 71-83.
- Hirbod Assa & Alexander Zimper, 2017. "Preferences Over all Random Variables: Incompatibility of Convexity and Continuity," Working Papers 201714, University of Pretoria, Department of Economics.
- Assa, Hirbod & Zimper, Alexander, 2018. "Preferences over all random variables: Incompatibility of convexity and continuity," Open Access Publications from Kiel Institute for the World Economy 233948, Kiel Institute for the World Economy (IfW Kiel).
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007.
"Learning, Structural Instability, and Present Value Calculations,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 253-288.
- Pesaran, Mohammad Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2006. "Learning, structural instability and present value calculations," Discussion Paper Series 1: Economic Studies 2006,27, Deutsche Bundesbank.
- Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006 529, Society for Computational Economics.
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers 06.42, Institute of Economic Policy Research (IEPR).
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series 1650, CESifo.
- Aurland-Bredesen , Kine Josefine, 2017. "Averting catastrophes in a more complex world," Working Paper Series 06-2017, Norwegian University of Life Sciences, School of Economics and Business.
- Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
- repec:lan:wpaper:2360 is not listed on IDEAS
- David Anthoff & Richard S. J. Tol, 2022.
"Testing the Dismal Theorem,"
Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 9(5), pages 885-920.
- David Anthoff & Richard S. J. Tol, 2020. "Testing the Dismal Theorem," Working Paper Series 1920, Department of Economics, University of Sussex Business School.
- David Anthoff & Richard S. J. Tol, 2021. "Testing the Dismal Theorem," CESifo Working Paper Series 8939, CESifo.
- Alexis Akira Toda & Kieran James Walsh, 2017.
"Fat tails and spurious estimation of consumption‐based asset pricing models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1156-1177, September.
- Toda, Alexis Akira & Walsh, Kieran James, 2016. "Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models," MPRA Paper 78980, University Library of Munich, Germany.
- Toda, Alexis Akira & Walsh, Kieran James, 2017. "Fat tails and spurious estimation of consumption-based asset pricing models," University of California at San Diego, Economics Working Paper Series qt8df3x7gw, Department of Economics, UC San Diego.
- Strand, Jon & Miller, Sebastian & Siddiqui, Sauleh, 2011. "Infrastructure investments under uncertainty with the possibility of retrofit : theory and simulations," Policy Research Working Paper Series 5516, The World Bank.
- Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019.
"Bond Return Predictability: Economic Value and Links to the Macroeconomy,"
Management Science, INFORMS, vol. 65(2), pages 508-540, February.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
- Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
- Michael Johannes & Lars Lochstoer & Pierre Collin-Dufresne, 2015. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," 2015 Meeting Papers 647, Society for Economic Dynamics.
- Adam, Klaus & Marcet, Albert, 2011.
"Internal rationality, imperfect market knowledge and asset prices,"
Journal of Economic Theory, Elsevier, vol. 146(3), pages 1224-1252, May.
- Adam, Klaus & Marcet, Albert, 2011. "Internal rationality, imperfect market knowledge and asset prices," LSE Research Online Documents on Economics 121722, London School of Economics and Political Science, LSE Library.
- Klaus Adam & Albert Marcet, 2011. "Internal Rationality, Imperfect Market Knowledge and Asset Prices," CEP Discussion Papers dp1068, Centre for Economic Performance, LSE.
- Millner, Antony, 2013. "On welfare frameworks and catastrophic climate risks," Journal of Environmental Economics and Management, Elsevier, vol. 65(2), pages 310-325.
- Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
- Kazem Falahati, 2021. "The Standard Model of Rational Risky Decision-Making," JRFM, MDPI, vol. 14(4), pages 1-24, April.
- Yoon, Gawon, 2004. "On the existence of expected utility with CRRA under STUR," Economics Letters, Elsevier, vol. 83(2), pages 219-224, May.
- Johannes Emmerling, 2015.
"Uncertainty and Natural Resources - Prudence Facing Doomsday,"
Working Papers
2015.49, Fondazione Eni Enrico Mattei.
- Emmerling, Johannes, 2015. "Uncertainty and Natural Resources - Prudence Facing Doomsday," Climate Change and Sustainable Development 205459, Fondazione Eni Enrico Mattei (FEEM).
- Shamsi Zamenjani, Azam, 2021. "Do financial variables help predict the conditional distribution of the market portfolio?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 327-345.
- Suen, Richard M. H., 2009.
"Bounding the CRRA Utility Functions,"
MPRA Paper
13260, University Library of Munich, Germany.
- Richard M. H. Suen, 2009. "Bounding the CRRA Utility Functions," Working Papers 200902, University of California at Riverside, Department of Economics, revised Feb 2009.
- Seong-Hoon Kim, 2012. "Sequential Action and Beliefs Under Partially Observable DSGE Environments," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 219-244, October.
- M. Mercè Claramunt & Maite Mármol & Xavier Varea, 2023. "Facing a Risk: To Insure or Not to Insure—An Analysis with the Constant Relative Risk Aversion Utility Function," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
- Shaliastovich, Ivan & Tauchen, George, 2011.
"Pricing of the time-change risks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 843-858, June.
- Ivan Shaliastovich & George Tauchen, 2009. "Pricing of the Time-Change Risks," Working Papers 10-71, Duke University, Department of Economics.
- Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers 10-10, Duke University, Department of Economics.
- Chen, Yu & Cosimano, Thomas F. & Himonas, Alex A., 2008. "Analytic solving of asset pricing models: The by force of habit case," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3631-3660, November.
- Antony Millner, 2013. "On Welfare Frameworks and Catastrophic Climate Risks," CESifo Working Paper Series 4442, CESifo.
- William A. Branch & George W. Evans, 2011.
"Learning about Risk and Return: A Simple Model of Bubbles and Crashes,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 159-191, July.
- Wiliam Branch & George W. Evans, "undated". "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," University of Oregon Economics Department Working Papers 2008-1, University of Oregon Economics Department.
- William A. Branch & George W. Evans, 2010. "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," CDMA Working Paper Series 201010, Centre for Dynamic Macroeconomic Analysis, revised 15 Apr 2010.
- Branch, William A. & Evans, George W., 2010. "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," SIRE Discussion Papers 2010-33, Scottish Institute for Research in Economics (SIRE).
- Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016.
"Characteristics-based portfolio choice with leverage constraints,"
Journal of Banking & Finance, Elsevier, vol. 70(C), pages 23-37.
- Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016. "Characteristics-based Portfolio Choice with Leverage Constraints," Working Papers on Finance 1607, University of St. Gallen, School of Finance.
- T M Niguez & I Paya & D Peel & J Perote, 2011. "On the stability of the CRRA utility under high degrees of uncertainty," Working Papers 615773, Lancaster University Management School, Economics Department.
- Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris, 2015. "Expected utility and catastrophic consumption risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 306-312.
- Kyung Hwan Baik & Subhasish M. Chowdhury & Abhijit Ramalingam, 2020.
"The effects of conflict budget on the intensity of conflict: an experimental investigation,"
Experimental Economics, Springer;Economic Science Association, vol. 23(1), pages 240-258, March.
- Kyung Hwan Baik & Subhasish M. Chowdhury & Abhijit Ramalingam, 2019. "The Effects of Conflict Budget on the Intensity of Conflict: An Experimental Investigation," Working Papers 19-06, Department of Economics, Appalachian State University.
- Bidarkota, Prasad V. & Dupoyet, Brice V., 2007. "The impact of fat tails on equilibrium rates of return and term premia," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 887-905, March.
- Jean-Louis Arcand, 2013.
"L'(absence d') impact de l'impact : pourquoi les évaluations d'impact conduisent rarement à une prise de décision politique fondée sur les faits,"
Revue d’économie du développement, De Boeck Université, vol. 21(4), pages 193-218.
- Jean-Louis ARCAND, 2013. "L’(absence d’) impact de l’impact : pourquoi les évaluations d’impact conduisent rarement à une prise de décision politique fondée sur les faits," Working Papers P73, FERDI.
- Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
- Timothy Cogley & Boyan Jovanovic, 2022.
"Structural Breaks in an Endogenous Growth Model,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(2), pages 666-694.
- Timothy Cogley & Boyan Jovanovic, 2020. "Structural Breaks in an Endogenous Growth Model," NBER Working Papers 28026, National Bureau of Economic Research, Inc.
- Elie Appelbaum & Parantap Basu, 2010.
"A new methodology for studying the equity premium,"
Annals of Operations Research, Springer, vol. 176(1), pages 109-126, April.
- Parantap Basu & Elie Appelbaum, 2004. "A New Methodology For Studying The Equity Premium," Royal Economic Society Annual Conference 2004 72, Royal Economic Society.
- Elie Appelbaum & Parantap Basu, 2010. "A new methodology for studying the equity premium," Working Papers 2010_3, York University, Department of Economics.
- Bidarkota, Prasad V. & Dupoyet, Brice V. & McCulloch, J. Huston, 2009. "Asset pricing with incomplete information and fat tails," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1314-1331, June.
- Jean-Louis Arcand, 2014.
"The (Lack of) Impact of Impact: Why Impact Evaluations Seldom Lead to Evidence-based Policymaking,"
Revue d’économie du développement, De Boeck Université, vol. 22(HS01), pages 289-311.
- Jean-Louis ARCAND, 2013. "The (lack of) impact of impact: Why impact evaluations seldom lead to evidence-based policymaking," Working Papers P73, FERDI.
- Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
- Pettenuzzo, Davide & Timmermann, Allan, 2011. "Predictability of stock returns and asset allocation under structural breaks," Journal of Econometrics, Elsevier, vol. 164(1), pages 60-78, September.
- Kine Josefine Aurland-Bredesen, 2020. "The Benefit-Cost Ratio as a Decision Criteria When Managing Catastrophes," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 77(2), pages 345-363, October.
- Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
- Nestor Gandelman & Ruben Hernandez-Murillo, 2015.
"Risk Aversion at the Country Level,"
Review, Federal Reserve Bank of St. Louis, vol. 97(1), pages 53-66.
- Nestor Gandelman & Rubén Hernández-Murillo, 2014. "Risk aversion at the country level," Documentos de Investigación 98, Universidad ORT Uruguay. Facultad de Administración y Ciencias Sociales.
- Nestor Gandelman & Ruben Hernandez-Murillo, 2014. "Risk Aversion at the Country Level," Working Papers 2014-5, Federal Reserve Bank of St. Louis.
- Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
- Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Chris Muris, 2011. "Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model," ISER Discussion Paper 0825, Institute of Social and Economic Research, Osaka University.
- Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris, 2020.
"Expected utility and catastrophic risk in a stochastic economy–climate model,"
Journal of Econometrics, Elsevier, vol. 214(1), pages 110-129.
- Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model," Discussion Paper 2010-122, Tilburg University, Center for Economic Research.
- Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model," Other publications TiSEM 52cbee73-e1dc-4ed3-8ec9-6, Tilburg University, School of Economics and Management.
- Martin Weitzman, 2007. "Structural Uncertainty and the Value of Statistical Life in the Economics of Catastrophic Climate Change," NBER Working Papers 13490, National Bureau of Economic Research, Inc.
- Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
- Donatella Baiardi & Mario Menegatti, 2011.
"Pigouvian tax, abatement policies and uncertainty on the environment,"
Journal of Economics, Springer, vol. 103(3), pages 221-251, July.
- M. Menegatti & D. Baiardi, 2010. "Pigouvian Tax, Abatement Policies and Uncertainty on the Environment," Economics Department Working Papers 2010-EP04, Department of Economics, Parma University (Italy).
- Kelly, David L. & Tan, Zhuo, 2015. "Learning and climate feedbacks: Optimal climate insurance and fat tails," Journal of Environmental Economics and Management, Elsevier, vol. 72(C), pages 98-122.
- Cogley, Timothy, 2009. "Is the market price of risk infinite?," Economics Letters, Elsevier, vol. 102(1), pages 13-16, January.
- Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
- Zhu, Shushang & Zhu, Wei & Pei, Xi & Cui, Xueting, 2020. "Hedging crash risk in optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 119(C).
- Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers 19705, National Bureau of Economic Research, Inc.
- Pepin Dominique, 2016.
"The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model,"
Economics Bulletin, AccessEcon, vol. 36(2), pages 931-935.
- Dominique Pepin, 2016. "The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model," Papers 1604.03337, arXiv.org, revised Jun 2016.
- Dominique Pepin, 2016. "The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model," Post-Print hal-01299834, HAL.
- Aurland-Bredesen, Kine Josefine, 2021. "The welfare costs of uncertainty: Cross-country evidence," World Development, Elsevier, vol. 146(C).
- Kame Babilla, Thierry, 2014. "Food Price Volatility implications for Trade and Monetary Policy between Nigeria and CEMAC: a Bayesian DSGE model approach," Conference papers 332525, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
- David Anthoff & Richard Tol, 2014.
"Climate policy under fat-tailed risk: an application of FUND,"
Annals of Operations Research, Springer, vol. 220(1), pages 223-237, September.
- Tol, Richard S. J. & Anthoff, David, 2010. "Climate Policy under Fat-Tailed Risk: An Application of FUND," Papers WP348, Economic and Social Research Institute (ESRI).
- Cenesizoglu, Tolga & Timmermann, Allan, 2012. "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2974-2987.
- Ross McKitrick, 2013. "State-contingent pricing as a response to uncertainty in climate policy," Chapters, in: Roger Fouquet (ed.), Handbook on Energy and Climate Change, chapter 18, pages 415-433, Edward Elgar Publishing.
- Hassler, J. & Krusell, P. & Smith, A.A., 2016. "Environmental Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1893-2008, Elsevier.
- Augusto De La Torre & Alain Ize, 2010.
"Regulatory Reform: Integrating Paradigms,"
International Finance, Wiley Blackwell, vol. 13(1), pages 109-139, March.
- de la Torre, Augusto & Ize, Alain, 2009. "Regulatory reform : integrating paradigms," Policy Research Working Paper Series 4842, The World Bank.
- Tsionas, Efthymios G., 2003. "Exact solution of asset pricing models with arbitrary shock distributions," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 843-851, March.
- Dietz, Simon, 2009. "High impact, low probability? An empirical analysis of risk in the economics of climate change," LSE Research Online Documents on Economics 37612, London School of Economics and Political Science, LSE Library.
- Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-698, March.
- Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2014. "Expected Utility and Catastrophic Risk," Tinbergen Institute Discussion Papers 14-133/III, Tinbergen Institute.
- Bianchi, Daniele & Guidolin, Massimo, 2014. "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, vol. 236(1), pages 160-176.
- Simon Dietz, 2009. "High impact, low probability? An empirical analysis of risk in the economics of climate change," GRI Working Papers 9, Grantham Research Institute on Climate Change and the Environment.
- Marcet, Albert & Adam, Klaus, 2009. "Internal Rationality and Asset Prices," CEPR Discussion Papers 7498, C.E.P.R. Discussion Papers.
- Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
- Ñíguez, Trino-Manuel & Paya, Ivan & Peel, David & Perote, Javier, 2012. "On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty," Economics Letters, Elsevier, vol. 115(2), pages 244-248.
- repec:lan:wpaper:2585 is not listed on IDEAS