Intertemporal asset pricing and the marginal utility of wealth (Q553533): Difference between revisions

The authors consider a general class of discrete-time, finite-horizon intertemporal asset pricing models. They supply a generalized definition of marginal utility of wealth based on the Frechet differential of the value operator that maps time wealth into maximum conditional remaining utility. It is shown that in this general case all state-price densities/stochastic discount factors are fully characterized by the marginal utility of wealth of optimizing agents even if their preferences for intermediate consumption are highly irregular. An example is given.

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reviewed by

Krzysztof Piasecki

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Mathematics Subject Classification ID

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arbitrage

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viability

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linear pricing rules

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optimal portfolio-consumption problems

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marginal utility of wealth

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmateco.2011.02.005

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OpenAlex ID

W3124349635

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cites work

Walras and dividends equilibrium with possibly satiated consumers

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Erratum to ``Walras and dividends equilibrium with possibly satiated consumers''

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Envelope theorems in Banach lattices and asset pricing

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MODELING LIQUIDITY EFFECTS IN DISCRETE TIME

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Habit Formation and Aggregate Consumption

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Q4794153

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Stochastic finance. An introduction in discrete time

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Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods

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Martingales and arbitrage in multiperiod securities markets

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Arbitrage and equilibrium in economies with infinitely many commodities

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Temporal Resolution of Uncertainty and Dynamic Choice Theory

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"Expected Utility" Analysis without the Independence Axiom

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Competitive equilibria without free disposal or nonsatiation

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Optimal Growth with Intertemporally Dependent Preferences

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Satiation and existence of competitive equilibrium

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No arbitrage: On the work of David Kreps

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First-order risk aversion and non-differentiability

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Arbitrage et lois de martingale. (Arbitrage and martingale laws)

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Sitelinks

Mathematics(1 entry)

mardi Publication:553533

@@ Property / review text @@
+The authors consider a general class of discrete-time, finite-horizon intertemporal asset pricing models. They supply a generalized definition of marginal utility of wealth based on the Frechet differential of the value operator that maps time wealth into maximum conditional remaining utility. It is shown that in this general case all state-price densities/stochastic discount factors are fully characterized by the marginal utility of wealth of optimizing agents even if their preferences for intermediate consumption are highly irregular. An example is given.
+Normal rank
@@ Property / reviewed by @@
+Krzysztof Piasecki
@@ Property / reviewed by: Krzysztof Piasecki / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B25
@@ Property / Mathematics Subject Classification ID: 91B25 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B16
@@ Property / Mathematics Subject Classification ID: 91B16 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B15
@@ Property / Mathematics Subject Classification ID: 91B15 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5933158
@@ Property / zbMATH DE Number: 5933158 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+arbitrage
@@ Property / zbMATH Keywords: arbitrage / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+viability
@@ Property / zbMATH Keywords: viability / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+linear pricing rules
@@ Property / zbMATH Keywords: linear pricing rules / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal portfolio-consumption problems
@@ Property / zbMATH Keywords: optimal portfolio-consumption problems / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+marginal utility of wealth
@@ Property / zbMATH Keywords: marginal utility of wealth / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmateco.2011.02.005
+Normal rank
@@ Property / OpenAlex ID @@
+W3124349635
@@ Property / OpenAlex ID: W3124349635 / rank @@
+Normal rank
@@ Property / cites work @@
+Walras and dividends equilibrium with possibly satiated consumers
+Normal rank
@@ Property / cites work @@
+Erratum to ``Walras and dividends equilibrium with possibly satiated consumers''
+Normal rank
@@ Property / cites work @@
+Envelope theorems in Banach lattices and asset pricing
+Normal rank
@@ Property / cites work @@
+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
+Normal rank
@@ Property / cites work @@
+Habit Formation and Aggregate Consumption
@@ Property / cites work: Habit Formation and Aggregate Consumption / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Arbitrage and equilibrium in economies with infinitely many commodities
+Normal rank
@@ Property / cites work @@
+Temporal Resolution of Uncertainty and Dynamic Choice Theory
+Normal rank
@@ Property / cites work @@
+"Expected Utility" Analysis without the Independence Axiom
+Normal rank
@@ Property / cites work @@
+Competitive equilibria without free disposal or nonsatiation
+Normal rank
@@ Property / cites work @@
+Optimal Growth with Intertemporally Dependent Preferences
+Normal rank
@@ Property / cites work @@
+Satiation and existence of competitive equilibrium
+Normal rank
@@ Property / cites work @@
+No arbitrage: On the work of David Kreps
@@ Property / cites work: No arbitrage: On the work of David Kreps / rank @@
+Normal rank
@@ Property / cites work @@
+First-order risk aversion and non-differentiability
+Normal rank
@@ Property / cites work @@
+Arbitrage et lois de martingale. (Arbitrage and martingale laws)
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:553533