Intertemporal asset pricing and the marginal utility of wealth
From MaRDI portal
Publication:553533
DOI10.1016/j.jmateco.2011.02.005zbMath1229.91129MaRDI QIDQ553533
Anna Battauz, Marzia De Donno, 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
arbitrage; viability; linear pricing rules; marginal utility of wealth; optimal portfolio-consumption problems
Related Items
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
