Existence of shadow prices in finite probability spaces (Q532533): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
Property / arXiv ID | |||
Property / arXiv ID: 0911.4801 / rank | |||
Normal rank |
Revision as of 15:52, 18 April 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Existence of shadow prices in finite probability spaces |
scientific article |
Statements
Existence of shadow prices in finite probability spaces (English)
0 references
5 May 2011
0 references
This article is concerned with maximizing expected utility from consumption in a finite market model with proportional transaction costs. The authors show that in this market model a shadow price process \(\widetilde{S}\) exists provided \( E\left[\sum u_t(c_t)\right]> -\infty\) , where an optimal portfolio/consumption pair \(\biggl(\left(\phi^0,\phi\right),c \biggr)\) exists for the market with bid/ask prices of \(\underline{S}, \overline{S}\). Moreover, the authors give an analogue of the fundamental theorem of asset pricing.
0 references
transactions costs
0 references
portfolio optimization
0 references
shadow price
0 references