A note on some limitations of CRRA utility

By John Geweke. 2001

153 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, General Decision Sciences

View Paper: https://www.semanticscholar.org/paper/fa8ed4eee8ea4c2b44858c738fc017e1c2245ba9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In General Decision Sciences

Citations in the corpus

Bayesian Portfolio Analysis (2010, methodology): “Geczy et al. (2005) apply the Pástor-Stambaugh methodology to study the cost of investing in socially responsible mutual funds.”
Do Return Prediction Models Add Economic Value (2012, methodology): “Following Kandel and Stambaugh (1996) and Geweke (2001) , we restrict ω t ∈ [0, 0.99] to ensure that the expected utility is finite under CRRA preferences.”
On Modeling and Interpreting the Economics of Catastrophic Climate Change (2009, background): “Intuitively, a 6 The example in this section with these particular functional forms leading to existence problems from indeﬁnite expected-utility integrals blowing up was ﬁrst articulated in the important pioneering note of Geweke (2001).”
Learning, Structural Instability, and Present Value Calculations (2007, background): “…exist for any h > 0, where 2 and v are the parameters of the gamma prior density assumed for 2 which can be written conveniently as 2 2 ∣∣∣ 2, v ∼ 2(v) As pointed out by Geweke (2001), the use of nonconjugate priors for and 2 does help in resolving the nonexistence of E ( e h | T ; , 2 , 2, v ) .”
Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, background): “…parameter σ in a discrete-time setting leads to extreme tail risk in subjective consumption growth (its predictive distribution has fat tails).17 17 Geweke (2001) and Weitzman (2007) also consider learning about σ 2 with power utility and note that standard conjugate priors imply that the…”