SHADOW PRICES FOR CONTINUOUS PROCESSES
نویسندگان
چکیده
منابع مشابه
Shadow prices for continuous processes
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...
متن کاملShadow prices in territory division
We consider a geographic optimization problem in which we are given a region R, a probability density function f(·) defined on R, and a collection of n utility density functions ui(·) defined on R. Our objective is to divide R into n sub-regions Ri so as to “balance” the overall utilities on the regions, which are given by the integrals ̃ Ri f(x)ui(x) dA. Using a simple complementary slackness a...
متن کاملRANKING DMUS ON THE BENCHMARK LINE WITH EQUAL SHADOW PRICES
Data envelopment analysis (DEA) with considering the best condition for each decision making unit (DMU) assesses the relative efficiency for it and divides a homogenous group of DMUs in to two categories: efficient and inefficient, but traditional DEA models can not rank efficient DMUs. Although some models were introduced for ranking efficient DMUs, Franklin Lio & Hsuan peng (2008), proposed a...
متن کاملShadow 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...
متن کاملOn the existence of shadow prices
For 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 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 whic...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2015
ISSN: 0960-1627
DOI: 10.1111/mafi.12103