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Title: Construction of Discrete Time Shadow Price

In the paper expected utility from consumption over finite time horizon for discrete time markets with bid and ask prices and strictly concave utility function is considered. The notion of weak shadow price, i.e. an illiquid price, depending on the portfolio, under which the model without bid and ask price is equivalent to the model with bid and ask price is introduced. Existence and the form of weak shadow price is shown. Using weak shadow price usual (called in the paper strong) shadow price is then constructed.
Authors:
;  [1]
  1. Polish Academy of Sciences, Institute of Mathematics (Poland)
Publication Date:
OSTI Identifier:
22469710
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 72; Journal Issue: 3; Other Information: Copyright (c) 2015 Springer Science+Business Media New York; Article Copyright (c) 2014 The Author(s); http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; CALCULATION METHODS; FUNCTIONS; MATHEMATICAL EVOLUTION; MATHEMATICAL MODELS; MATHEMATICAL SOLUTIONS