Existence of shadow prices in finite probability spaces (Q532533)

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.