Erratum to: Shadow Prices for Measures of Effectiveness, Part I: Linear Model
نویسندگان
چکیده
منابع مشابه
Shadow Prices in Infinite-Dimensional Linear Programming
We consider the class of linear programs that can be formulated with infinitely many variables and constraints but where each constraint has only finitely many variables. This class includes virtually all infinite horizon planning problems modeled as infinite stage linear programs. Examples include infinite horizon production planning under time-varying demands and equipment replacement under t...
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It is well known that in linear programming, the optimal values of the dual variables can be interpreted as shadow prices (marginal values) of the right-hand-side coefficients. However, this is true only under nondegeneracy assumptions. Since real problems are often degenerate, the output from conventional LP software regarding such marginal information can be misleading. This paper surveys and...
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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 ingredi...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2000
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.48.1.185.12440