Intertemporal asset pricing and the marginal utility of wealth

DOI10.1016/J.JMATECO.2011.02.005zbMath1229.91129OpenAlexW3124349635MaRDI QIDQ553533

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

zbMATH Keywords

arbitrageviabilitylinear pricing rulesmarginal utility of wealthoptimal portfolio-consumption problems

Mathematics Subject Classification ID

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

Related Items (2)

Envelope theorems in Banach lattices and asset pricing ⋮ Near-optimal asset allocation in financial markets with trading constraints

Cites Work

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