Envelope theorems in Banach lattices and asset pricing

被引：2

作者：

Battauz, Anna ^{[1
,2
]}

De Donno, Marzia ^{[3
]}

Ortu, Fulvio ^{[1
,2
]}

机构：

[1] Bocconi Univ, Dept Finance, Milan, Italy

[2] Bocconi Univ, IGIER, Milan, Italy

[3] Univ Parma, Dept Econ, I-43100 Parma, Italy

来源：

MATHEMATICS AND FINANCIAL ECONOMICS | 2015年 / 9卷 / 04期

关键词：

Envelope theorem; Banach lattice; State-dependent utility; Value function; Gateaux differential; Frechet differential; ORDERED VECTOR-SPACES; DIFFERENTIABILITY; UTILITY;

D O I：

10.1007/s11579-015-0145-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop envelope theorems for optimization problems in which the value function takes values in a general Banach lattice. We consider both the special case of a convex choice set and a concave objective function and the more general case case of an arbitrary choice set and a general objective function. We apply our results to discuss the existence of a well-defined notion of marginal utility of wealth in optimal discrete-time, finite-horizon consumption-portfolio problems with an unrestricted information structure and preferences allowed to display habit formation and state dependency.

引用

页码：303 / 323

页数：21

共 21 条

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