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

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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.
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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Intertemporal asset pricing and the marginal utility of wealth
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    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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