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Closed-Form Solutions to Dynamic Stochastic Choice Problems

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  • Farmer, Roger

Abstract

This paper introduces a parametric class of Freps preferences that yield closed form solutions to dynamic stochastic choice problems. These preferences are applied to a simple stochastic macroeconomic model which relaxes the representative agent assumption. This example is designed to illustrate one of the many possible ways in which these preferences may be useful to both theoretical and applied researchers.

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Bibliographic Info

Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 282.

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Length: 20 pages
Date of creation: 1987
Date of revision:
Handle: RePEc:wrk:warwec:282

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Cited by:
  1. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
  2. Giovannini, Alberto & Jorion, Philippe, 1989. " The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets," Journal of Finance, American Finance Association, vol. 44(2), pages 307-25, June.

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