A General Equilibrium Model with CRRA Preferences and k State Variables

Hamilton Galindo Gil
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Hamilton Galindo Gil: Cleveland State University, Department of Finance and Economics

Chapter Chapter 6 in Heterogeneous Agents in Asset Pricing, Vol 1, 2025, pp 199-221 from Springer

Abstract: Abstract 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)).

Date: 2025
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DOI: 10.1007/978-3-031-93263-2_6

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