Intertemporal asset pricing and the marginal utility of wealth

DOI10.1016/J.JMATECO.2011.02.005MaRDI QIDQ553533zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

viabilityarbitragelinear pricing rulesmarginal utility of wealthoptimal portfolio-consumption problems

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• "Expected Utility" Analysis without the Independence Axiom
• Arbitrage and equilibrium in economies with infinitely many commodities
• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Competitive equilibria without free disposal or nonsatiation
• Envelope theorems in Banach lattices and asset pricing
• Erratum to ``Walras and dividends equilibrium with possibly satiated consumers
• First-order risk aversion and non-differentiability
• Habit Formation and Aggregate Consumption
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Martingales and arbitrage in multiperiod securities markets
• No arbitrage: On the work of David Kreps
• Optimal Growth with Intertemporally Dependent Preferences
• Satiation and existence of competitive equilibrium
• Stochastic finance. An introduction in discrete time
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Walras and dividends equilibrium with possibly satiated consumers

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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