Envelope theorems in Banach lattices and asset pricing

DOI10.1007/S11579-015-0145-5MaRDI QIDQ496582zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1351867 (Why is no real title available?)
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• scientific article; zbMATH DE number 3245483 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• An envelope theorem and some applications to discounted Markov decision processes
• Asset pricing theory.
• Continuity and Differentiability Properties of Convex Operators
• Continuous-time security pricing. A utility gradient approach
• Convex Analysis
• Differentiability of the value function without interiority assumptions
• Envelope Theorems for Arbitrary Choice Sets
• Intertemporal asset pricing and the marginal utility of wealth
• On Fréchet differentiability of Lipschitz maps between Banach spaces
• On the Differentiability of the Value Function in Dynamic Models of Economics
• Sous-Différentiabilité de fonctions convexes à valeurs dans un espace vectoriel ordonné.
• Stochastic finance. An introduction in discrete time

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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