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The Shadow Price of Information in Continuous Time Decision Problems

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  • Kerry Back
  • Stanley R. Pliska

Abstract

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Suggested Citation

  • Kerry Back & Stanley R. Pliska, 1986. "The Shadow Price of Information in Continuous Time Decision Problems," Discussion Papers 690, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    • Handle: RePEc:nwu:cmsems:690
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    References listed on IDEAS

    as
    1. Kerry Back, 1986. "Securities Market Equilibrium Without Bankruptcy: Contingent ClaimValuation and the Martingale Property," Discussion Papers 683, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Bewley, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," Journal of Economic Theory, Elsevier, vol. 4(3), pages 514-540, June.
    3. BEWLEY, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," LIDAM Reprints CORE 122, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    Full references (including those not matched with items on IDEAS)

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