On the existence of shadow prices

DOI10.1007/s00780-012-0201-4zbMath1280.91070arXiv1111.6633OpenAlexW2164546915MaRDI QIDQ377456

Giuseppe Benedetti, Luciano Campi, Johannes Muhle-Karbe, Jan Kallsen

Publication date: 6 November 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.6633

zbMATH Keywords

transaction costsshadow pricesshort selling constraints

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Related Items (10)

SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Construction of discrete time shadow price ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Optimal strategies for utility from terminal wealth with general bid and ask prices

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