- Article

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2012. On the Stability of the Constant Relative Risk Aversion Utility under High Degrees of Uncertainty. *Economics Letters .* 115 (2), pp. 244-248. doi:doi:10.1016/j.econlet.2011.12.049

Title | On the Stability of the Constant Relative Risk Aversion Utility under High Degrees of Uncertainty |
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Authors | Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. |

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. |

Keywords | Bayesian learning; Rational expectations; Semi-nonparametric distributions |

Journal | Economics Letters |

Journal citation | 115 (2), pp. 244-248 |

ISSN | 0165-1765 |

Year | 2012 |

Publisher | Elsevier |

Digital Object Identifier (DOI) | doi:doi:10.1016/j.econlet.2011.12.049 |

Publication dates | |

Published | 21 Dec 2011 |

Published | May 2012 |

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