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Valuation and martingale properties of shadow prices: An exposition

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Author Info
Foldes, Lucien
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 24 (2000)
Issue (Month): 11-12 (October)
Pages: 1641-1701
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Handle: RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1641-1701

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  1. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January. [Downloadable!] (restricted)
    Other versions:
  2. Walter Schachermayer & Mihai Sîrbu & Erik Taflin, 2009. "In which financial markets do mutual fund theorems hold true?," Finance and Stochastics, Springer, vol. 13(1), pages 49-77, January. [Downloadable!] (restricted)
  3. Harvey S. Rosen & Stephen Wu, 2003. "Portfolio Choice and Health Status," NBER Working Papers 9453, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Mark Owen & Gordan Zitkovic, 2007. "Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing," Quantitative Finance Papers 0706.0478, arXiv.org, revised Sep 2007. [Downloadable!]
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