Envelope Theorems For Finite Choice Sets

Somdeb Lahiri (lahirissebs.wits.ac.za)

Abstract: This paper is concerned with the study of envelope theorems for finite choice sets. More specifically, we consider the problem of differentiability of the value function arising out of the maximization of a parametrized objective function, when the set of alternatives is non-empty and finite. The parameter is confined to the closed interval [0,1] and for each alternative, the objective function is assumed to be a continuous function of the parameter.

Keywords: envelope theorems, finite choice sets, value function, differentiability

Category 1: Applications -- OR and Management Sciences (Finance and Economics )

Category 2: Other Topics (Multi-Criteria Optimization )

Category 3: Other Topics (Game Theory )

Citation: WITS University, December 2003

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Entry Submitted: 12/02/2003
Entry Accepted: 12/02/2003
Entry Last Modified: 12/16/2003

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