Exponential minimization construction of a bounded pricing kernel ($Y=e^{-h_{\ast }\cdot P}$)

For a bounded payoff vector $P$, the condition that $h\cdot p\le 0\le h\cdot P$ almost surely forces $h=0$ makes $F(h)=\mathbb{E}{e}^{-h\cdot P}+h\cdot p$ coercive. At a minimizer $h_{\ast }$, differentiation gives $\mathbb{E}[P{e}^{-h_{\ast }\cdot P}]=p$. The resulting positive pricing kernel is bounded above and away from zero. A direct coercivity proof uses compactness of the unit sphere and separates directions with negative-payoff probability from directions with nonnegative payoffs.