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This chapter refines the model introduced in Chap. 5 by assuming that preferences are represented by a constant relative risk aversion (CRRA) utility function. While keeping the remaining assumptions unchanged, we analyze the implications of this refinement on the Hamilton-Jacobi-Bellman (HJB) equation, the first-order conditions, and the partial differential equation (PDE) governing asset prices. This chapter is based on Cox et al. (Econometrica, 53(2), 385–407 (1985b)).

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A General Equilibrium Model with CRRA Preferences and k State Variables

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  • 发表日期：

    2025年

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  • Hamilton Galindo Gil

摘要

This chapter refines the model introduced in Chap. 5 by assuming that preferences are represented by a constant relative risk aversion (CRRA) utility function. While keeping the remaining assumptions unchanged, we analyze the implications of this refinement on the Hamilton-Jacobi-Bellman (HJB) equation, the first-order conditions, and the partial differential equation (PDE) governing asset prices. This chapter is based on Cox et al. (Econometrica, 53(2), 385–407 (1985b)).