Intertemporal asset pricing and the marginal utility of wealth

DOI10.1016/J.JMATECO.2011.02.005zbMATH Open1229.91129OpenAlexW3124349635MaRDI QIDQ553533FDOQ553533

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

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zbMATH Keywords

viabilityarbitragelinear pricing rulesmarginal utility of wealthoptimal portfolio-consumption problems

Mathematics Subject Classification ID

Utility theory (91B16) Welfare economics (91B15)

Cites Work

• "Expected Utility" Analysis without the Independence Axiom
• Martingales and arbitrage in multiperiod securities markets
• Title not available (Why is that?)
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Stochastic finance. An introduction in discrete time
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Arbitrage and equilibrium in economies with infinitely many commodities
• Optimal Growth with Intertemporally Dependent Preferences
• First-order risk aversion and non-differentiability
• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Envelope theorems in Banach lattices and asset pricing
• Competitive equilibria without free disposal or nonsatiation
• No arbitrage: On the work of David Kreps
• Habit Formation and Aggregate Consumption
• Erratum to ``Walras and dividends equilibrium with possibly satiated consumers
• Walras and dividends equilibrium with possibly satiated consumers
• Satiation and existence of competitive equilibrium

Cited In (6)

• A discrete-time intertemporal asset pricing model: GE approach with recursive utility
• Near-optimal asset allocation in financial markets with trading constraints
• Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
• Envelope theorems in Banach lattices and asset pricing
• Bounded Rationality and Asset Pricing with Intermediate Consumption*
• A Revealed Preference Analysis of Asset Pricing Under Recursive Utility

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