Intertemporal asset pricing and the marginal utility of wealth

DOI10.1016/j.jmateco.2011.02.005zbMath1229.91129MaRDI QIDQ553533

Marzia De Donno, Anna Battauz, Fulvio Ortu

Publication date: 27 July 2011

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2011.02.005

zbMATH Keywords

arbitrage; viability; linear pricing rules; marginal utility of wealth; optimal portfolio-consumption problems

Mathematics Subject Classification ID

91B16: Utility theory

91B15: Welfare economics

Related Items

Envelope theorems in Banach lattices and asset pricing, Near-optimal asset allocation in financial markets with trading constraints

Cites Work

• Unnamed Item
• Envelope theorems in Banach lattices and asset pricing
• Erratum to ``Walras and dividends equilibrium with possibly satiated consumers
• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Walras and dividends equilibrium with possibly satiated consumers
• Satiation and existence of competitive equilibrium
• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• Competitive equilibria without free disposal or nonsatiation
• No arbitrage: On the work of David Kreps
• First-order risk aversion and non-differentiability
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• "Expected Utility" Analysis without the Independence Axiom
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Habit Formation and Aggregate Consumption
• Optimal Growth with Intertemporally Dependent Preferences
• Stochastic finance. An introduction in discrete time