The wealth-consumption ratio of an investor, say, H must be calculated to solve models of optimal portfolios and asset prices. At this time there is no standard method to obtain H for investors with stochastic differential utility in incomplete markets. One reason is that boundary conditions of...

The pricing kernel puzzle of Jackwerth (2000) concerns the fact that the empirical pricing kernel implied in S&P 500 index options and index returns is not monotonically decreasing in wealth as standard economic theory would suggest. Thus, those options are currently priced in a way such that...