SHADOW PRICES FOR CONTINUOUS PROCESSES

被引：13

作者：

Czichowsky, Christoph ^{[1
]}

Schachermayer, Walter ^{[2
]}

Yang, Junjian ^{[2
]}

机构：

[1] London Sch Econ & Polit Sci, London, England

[2] Univ Vienna, Vienna, Austria

来源：

MATHEMATICAL FINANCE | 2017年 / 27卷 / 03期

基金：

奥地利科学基金会; 瑞士国家科学基金会; 欧洲研究理事会;

关键词：

utility maximization; proportional transaction costs; convex duality; shadow prices; continuous price processes; OPTIMAL INVESTMENT; PORTFOLIO OPTIMIZATION; FUNDAMENTAL THEOREM; TRADING STRATEGIES; TRANSACTION COSTS; ARBITRAGE; MARKETS; DUALITY;

D O I：

10.1111/mafi.12103

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In a financial market with a continuous price process and proportional transaction costs, we investigate the problem of utility maximization of terminal wealth. We give sufficient conditions for the existence of a shadow price process, i.e., a least favorable frictionless market leading to the same optimal strategy and utility as in the original market under transaction costs. The crucial ingredients are the continuity of the price process and the hypothesis of "no unbounded profit with bounded risk." A counterexample reveals that these hypotheses cannot be relaxed.

引用

页码：623 / 658

页数：36

共 35 条

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