On the existence of shadow prices
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Publication:377456
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
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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