Fat Tails and Constant Relative Risk Aversion
Marty Weitzman says to go read:
Geweke, John (2001), "“A note on some limitations of CRRA utility.”" Economics Letters, 71, 341-345.
DeLong's Grasping Reality © J. Bradford DeLong 1995-2019
Marty Weitzman says to go read:
Geweke, John (2001), "“A note on some limitations of CRRA utility.”" Economics Letters, 71, 341-345.
DeLong's Grasping Reality © J. Bradford DeLong 1995-2019