We study the di¤erentiability of the value function of a constrained optimization problem. We consider the envelope …¤erentiability of the value function. The key idea and main mathematical tool we employ in our approach are a novel feature in the … literature dealing with the di¤erentiability of the value function. …

(iii) affect the choice set. Our estimation algorithm sequentially updates the parameter estimate and the value function … conducts iteration using the value function mapping rather than the policy iteration mapping. Its implementation is … point mapping in the value function space as that in the space of probability distributions. It is also applicable to …

Cumulative Prospect Theory (Kahneman, Tversky, 1979, 1992) holds that the value function is described using a power … (Markowitz, 1952A). This is not possible in the case of the Prospect Theory value function due its shape at the origin. …