Envelope theorems in Banach lattices and asset pricing

DOI10.1007/s11579-015-0145-5zbMath1321.91118OpenAlexW2039176330MaRDI QIDQ496582

Fulvio Ortu, Anna Battauz, Marzia De Donno

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

Banach latticeFréchet differentialvalue functionenvelope theoremGateaux differentialstate-dependent utility

Mathematics Subject Classification ID

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

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