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On the existence of shadow prices

dc.contributor.authorMuhle-Karbe, Johannes
dc.contributor.authorKallsen, Jan
dc.contributor.authorCampi, Luciano
dc.contributor.authorBenedetti, Giuseppe
dc.date.accessioned2011-11-30T14:48:03Z
dc.date.available2011-11-30T14:48:03Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7701
dc.language.isoenen
dc.subjectshort selling constraintsen
dc.subjectshadow pricesen
dc.subjectTransaction costsen
dc.subject.ddc332en
dc.subject.classificationjelD23en
dc.titleOn the existence of shadow pricesen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherMathematics Department Swiss Federal Institute of Technology in Zurich (ETH Zurich).;Suisse
dc.contributor.editoruniversityothermathematisches seminar Christian-Albrechts-Universität zu Kiel;Allemagne
dc.contributor.editoruniversityotherLaboratoire d'Analyse, Géométrie et Applications (LAGA) http://www.math.univ-paris13.fr/laga/ CNRS : UMR7539 – Université Paris-Nord - Paris XIII;France
dc.description.abstractenFor utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless {\em shadow market} that yields the same optimal strategy and utility. However, the question of whether or not this indeed holds in generality has remained elusive so far. In this paper we present a counterexample which shows that shadow prices may fail to exist. On the other hand, we prove that short selling constraints are a sufficient condition to warrant their existence, even in very general multi-currency market models with possibly discontinuous bid-ask-spreads.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol17
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages801-818
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-012-0201-4
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00645980/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelEconomie financièreen


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