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...

We derive envelope theorems for optimization problems in which the value function takes values in a general Banach lattice, and not necessarily in the real line. We impose no restriction whatsoever on the choice set. Our result extend therefore the ones of Milgrom and Segal (2002). We apply our...

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...

We derive envelope theorems for optimization problems in which the value function takes values in a general Banach lattice, and not necessarily in the real line. We impose no restriction whatsoever on the choice set. Our result extend therefore the ones of Milgrom and Segal (2002). We apply our...