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Rince Preferences

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  • Roger E.A. Farmer

    (UCLA)

Abstract

This paper presents a class of preferences that yield closed-form solutions to dynamic stochastic choice problems. These preferences are based on a set of axioms that were proposed by Kreps and Porteus. The Kreps-Porteus axioms allow one to separate an agent's attitudes to risk from his or her intertemporal elasticity of substitution. RINCE preferences have the properties of RIsk Neutrality and Constant Elasticity of substitution. Copyright 1990, the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

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Bibliographic Info

Paper provided by UCLA Department of Economics in its series UCLA Economics Working Papers with number 547.

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Date of creation: 01 Jan 1989
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Handle: RePEc:cla:uclawp:547

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Web page: http://www.econ.ucla.edu/

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  1. Attanasio, Orazio P & Weber, Guglielmo, 1989. "Intertemporal Substitution, Risk Aversion and the Euler Equation for Consumption," Economic Journal, Royal Economic Society, vol. 99(395), pages 59-73, Supplemen.
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