Existence of shadow prices in finite probability spaces
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Publication:532533
DOI10.1007/S00186-011-0345-6zbMATH Open1217.91170arXiv0911.4801OpenAlexW2592366081MaRDI QIDQ532533FDOQ532533
Authors: Jan Kallsen, Johannes Muhle-Karbe 
Publication date: 5 May 2011
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Abstract: A shadow price is a process lying within the bid/ask prices of a market with proportional transaction costs, such that maximizing expected utility from consumption in the frictionless market with this price process leads to the same maximal utility as in the original market with transaction costs. For finite probability spaces, this note provides an elementary proof for the existence of such a shadow price.
Full work available at URL: https://arxiv.org/abs/0911.4801
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Cited In (18)
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- Valuation and martingale properties of shadow prices: an exposition
- Duality theory for portfolio optimisation under transaction costs
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