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Transaction Costs, Shadow Prices, and Connections to Duality
transaction costs utility maximization shadow price convex duality
2012/6/5
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same opti...
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Shadow prices well-posedness the problem of optimal investment consumption transaction costs Portfolio Management
2012/4/28
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Mak...
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...