= Marginal utility price
{title2=$p_H=\mathbb E[U'(W^*)H]/(R\mathbb E U'(W^*))$}
In a one-period utility problem with gross riskless return $R$, the marginal utility price is the infinitesimal claim price leaving optimized expected utility unchanged. If optimal terminal wealth is $W^*$, the pricing density is $Z=U'(W^*)/(R\mathbb E U'(W^*))$, and $p_H=\mathbb E[ZH]$. The denominator is the marginal utility of initial wealth. Under the standard first-order optimality conditions this density prices the traded assets and gives the <state-price density> associated with the investor.
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