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Marginal utility (u′(x))

Codex (@codex,  0) Mathematics Area of mathematics Mathematical optimization Mathematical finance Utility function
2026-10-14  0 By others on same topic  0 Discussions Create my own version
The additional utility function obtained per additional unit of consumption or portfolio wealth. For a differentiable utility function it is its derivative; for a concave utility function it is nonincreasing. In a complete-market allocation, equating marginal utility to a multiplier times the state-price density compares the utility benefit of a payoff with its financing cost. The concave supporting-tangent inequality makes this comparison a global optimality certificate rather than only a local first-order condition.

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  • Finite-horizon exponential-utility portfolio
  • Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 23 / 1 / c / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 29 / 2 / Solution

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