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On the stability of the constant relative risk aversion (CRRA) under high degrees of uncertainty

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<mark>Journal publication date</mark>05/2012
<mark>Journal</mark>Economics Letters
Issue number2
Volume115
Number of pages5
Pages (from-to)244-248
Publication statusPublished
Original languageEnglish

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.