On the Existence of Shadow Prices in Finite Discrete Time
نویسندگان
چکیده
A shadow price is a process S̃ lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption in the frictionless market with price process S̃ leads to the same maximal utility as in the original market with transaction costs. For finite Ω, this note provides an elementary proof for the existence of such a shadow price.
منابع مشابه
Existence of shadow prices in finite probability spaces
A shadow price is a process S̃ lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption in the frictionless market with price process S̃ 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 suc...
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