Valuation and martingale properties of shadow prices: an exposition

DOI10.1016/S0165-1889(99)00090-1MaRDI QIDQ1583150zbMATH OpenOpenAlexFDO

Authors Lucien Foldes

Publication date 26 October 2000

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(99)00090-1

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Portfolio theory (91G10)

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Cites work

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Cited in

(11)

• In which financial markets do mutual fund theorems hold true?
• scientific article; zbMATH DE number 2129485 (Why is no real title available?)
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Pricing with non-smooth utility function
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• On the existence of shadow prices for optimal investment with random endowment
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Do arbitrage-free prices come from utility maximization?
• Risk measure pricing and hedging in incomplete markets
• A martingale theory of asset pricing in a production economy
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging

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