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

Papers overview

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Highly Cited
2006
Highly Cited
2006
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
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
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
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
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
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
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
  • 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
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
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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