Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
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- Dmitry Rokhlin, 2013. "On the game interpretation of a shadow price process in utility maximization problems under transaction costs," Finance and Stochastics, Springer, vol. 17(4), pages 819-838, October.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-10 (All new papers)
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