On the game interpretation of a shadow price process in utility maximization problems under transaction costs
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- Christoph Czichowsky & Johannes Muhle-Karbe & Walter Schachermayer, 2012. "Transaction Costs, Shadow Prices, and Duality in Discrete Time," Papers 1205.4643, arXiv.org, revised Jan 2014.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-MIC-2011-12-19 (Microeconomics)
- NEP-UPT-2011-12-19 (Utility Models & Prospect Theory)
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