Battauz, Anna; De Donno, Marzia; Ortu, Fulvio - In: Journal of Mathematical Economics 47 (2011) 2, pp. 227-244
Abstract We consider the general class of discrete-time, finite-horizon intertemporal asset pricing models in which preferences for consumption at the intermediate dates are allowed to be state-dependent, satiated, non-convex and discontinuous, and the information structure is not required to be...