Existence of Shadow Prices in Finite Probability Spaces
AbstractA 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0911.4801.
Date of creation: Nov 2009
Date of revision: Nov 2010
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- NEP-ALL-2009-12-05 (All new papers)
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