The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are risk-averse and have common andtrue beliefs, the pricing...

The pricing kernel is an important link between economics and finance. In standard models of financial economics it is proportional to the aggregate marginal utility in the economy. We first how that none of the three standard assumptions (completeness, risk aversion, and correct beliefs) is...

We consider a sequence of financial markets that converges weakly in a suitable sense and maximize a behavioural preference functional in each market. For expected concave utilities, it is well known that the maximal expected utilities and the corresponding final positions converge to the...

We study the problem of maximizing expected utility from terminal wealth for a non-concave utility function and for a budget set given by one fixed pricing measure. We prove the existence and several fundamental properties of a maximizer. We analyze the (non-concave) value function (indirect...

The pricing kernel is an important link between economics and finance. In standard models of financial economics, it is proportional to the aggregate marginal utility in the economy. We first show that none of the three standard assumptions (completeness, risk aversion, and correct beliefs) is...

The pricing kernel puzzle is the observation that the pricing kernel might be increasing in some range of the market returns. This paper analyzes the pricing kernel in a financial market equilibrium. If mar- kets are complete and investors are risk-averse and have common and true beliefs, the...