Optimal marginal utility as a one-period pricing density
ID: optimal-marginal-utility-as-a-one-period-pricing-density
For a negative, strictly increasing, concave differentiable utility with finite expected utility at every holding, a gain having both signs makes the objective coercive at both ends. At a finite optimum its derivative is zero. Secant domination for expected utility derivatives gives integrability of ; boundedness of on the remaining compact set gives integrability of the positive marginal utility itself. Its normalization has expectation one and prices the gain at zero.
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