Envelope theorems in Banach lattices and asset pricing

DOI10.1007/S11579-015-0145-5zbMATH Open1321.91118OpenAlexW2039176330MaRDI QIDQ496582FDOQ496582

Authors: Anna Battauz, Marzia De Donno, Fulvio Ortu 

Publication date: 22 September 2015

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-015-0145-5

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zbMATH Keywords

value functionBanach latticeenvelope theoremGateaux differentialstate-dependent utilityFréchet differential

Mathematics Subject Classification ID

Portfolio theory (91G10) Sensitivity, stability, parametric optimization (90C31) Programming in abstract spaces (90C48) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Financial applications of other theories (91G80) Derivatives of functions in infinite-dimensional spaces (46G05)

Cites Work

• Convex Analysis
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• Envelope Theorems for Arbitrary Choice Sets
• Continuous-time security pricing. A utility gradient approach
• On the Differentiability of the Value Function in Dynamic Models of Economics
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• Asset pricing theory.
• Stochastic finance. An introduction in discrete time
• Continuity and Differentiability Properties of Convex Operators
• Sous-Différentiabilité de fonctions convexes à valeurs dans un espace vectoriel ordonné.
• Differentiability of the value function without interiority assumptions
• On Fréchet differentiability of Lipschitz maps between Banach spaces
• An envelope theorem and some applications to discounted Markov decision processes
• Intertemporal asset pricing and the marginal utility of wealth

Cited In (3)

• Near-optimal asset allocation in financial markets with trading constraints
• Intertemporal asset pricing and the marginal utility of wealth
• Robust Bayesian choice

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