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On the existence of expected utility with CRRA under STUR

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  • Yoon, Gawon

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  • Yoon, Gawon, 2004. "On the existence of expected utility with CRRA under STUR," Economics Letters, Elsevier, vol. 83(2), pages 219-224, May.
  • Handle: RePEc:eee:ecolet:v:83:y:2004:i:2:p:219-224
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    1. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 435-446, October.
    2. Karim Maher Abadir, 2004. "Cointegration Theory, Equilibrium and Disequilibrium Economics," Manchester School, University of Manchester, vol. 72(1), pages 60-71, January.
    3. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    4. Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 329-340, March.
    5. Michael F. Bleaney & Stephen J. Leybourne & Paul Mizen, 1999. "Mean Reversion of Real Exchange Rates in High-Inflation Countries," Southern Economic Journal, Southern Economic Association, vol. 65(4), pages 839-854, April.
    6. 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.
    7. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    8. Robert Sollis & Paul Newbold & Stephen Leybourne, 2000. "Stochastic unit roots modelling of stock price indices," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 311-315.
    9. Geweke, John, 2001. "A note on some limitations of CRRA utility," Economics Letters, Elsevier, vol. 71(3), pages 341-345, June.
    10. Michael Bleaney & Stephen J. Leybourne, 2003. "Real Exchange Rate Dynamics Under The Current Float: A Re-Examination," Manchester School, University of Manchester, vol. 71(2), pages 156-171, March.
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    Cited by:

    1. repec:lan:wpaper:2360 is not listed on IDEAS
    2. 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.
    3. 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.
    4. 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.
    5. repec:lan:wpaper:2585 is not listed on IDEAS

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