Intertemporal asset pricing and the marginal utility of wealth (Q553533): Difference between revisions
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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. | |||
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. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Krzysztof Piasecki / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B16 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B15 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 5933158 / rank | |||
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Property / zbMATH Keywords | |||
arbitrage | |||
Property / zbMATH Keywords: arbitrage / rank | |||
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Property / zbMATH Keywords | |||
viability | |||
Property / zbMATH Keywords: viability / rank | |||
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Property / zbMATH Keywords | |||
linear pricing rules | |||
Property / zbMATH Keywords: linear pricing rules / rank | |||
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Property / zbMATH Keywords | |||
optimal portfolio-consumption problems | |||
Property / zbMATH Keywords: optimal portfolio-consumption problems / rank | |||
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Property / zbMATH Keywords | |||
marginal utility of wealth | |||
Property / zbMATH Keywords: marginal utility of wealth / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jmateco.2011.02.005 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W3124349635 / rank | |||
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Property / cites work | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 08:59, 4 July 2024
scientific article
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English | Intertemporal asset pricing and the marginal utility of wealth |
scientific article |
Statements
Intertemporal asset pricing and the marginal utility of wealth (English)
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27 July 2011
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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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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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