FAQ

Isoelastic utility

Known as: Power utility function, CRRA, Isoelastic utility function 
In economics, the isoelastic function for utility, also known as the isoelastic utility function, or power utility function is used to express… (More)
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Topic mentions per year

Topic mentions per year

1984-2018
010203019842018

Related topics

Related topics

4 relations
Exponential utilityHyperbolic absolute risk aversionRisk aversionUtility

Related mentions per year

Related mentions per year

1944-2018
19401960198020002020
Isoelastic utility
Utility
Risk aversion
Exponential utility
Hyperbolic absolute risk aversion

Papers overview

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Highly Cited
2006
Highly Cited
2006
Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
Over the years numerous portfolio performance measures have been proposed. In general they are designed to capture some… (More)
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Highly Cited
2004
Highly Cited
2004
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution… (More)
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Highly Cited
2002
Highly Cited
2002
Why Stocks May Disappoint∗
We provide a formal treatment of both static and dynamic portfolio choice using the Disappointment Aversion preferences of Gul… (More)
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Highly Cited
2002
Highly Cited
2002
Optimal Portfolio Selection with Transaction Costs and Finite Horizons
We examine the optimal trading strategy for a CRRA investor who maximizes the expected utility of wealth on a finite date and… (More)
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Highly Cited
2001
Highly Cited
2001
Variable Selection for Portfolio Choice
We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return… (More)
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Highly Cited
2000
Highly Cited
2000
Does Option Compensation Increase Managerial Risk Appetite?
This paper solves the dynamic investment problem of a risk averse manager compensated with a call option on the assets he… (More)
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Highly Cited
1999
Highly Cited
1999
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org… (More)
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Highly Cited
1999
Highly Cited
1999
Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach
  • MICHAEL W. BRANDT
  • 1999
This paper develops a nonparametric approach to examine how portfolio and consumption choice depends on variables that forecast… (More)
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Highly Cited
1999
Highly Cited
1999
Portfolio Selection in Stochastic Environments
In this article, I explicitly solve dynamic portfolio choice problems, up to the solution of an ordinary differential equation… (More)
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Highly Cited
1996
Highly Cited
1996
Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to be True?
We study a Lucas asset pricing model that is standard in all respects, except that the representative agent's subjective beliefs… (More)
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