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- W2083522182 abstract "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." @default.
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- W2083522182 date "2015-01-09" @default.
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- W2083522182 title "Construction of Discrete Time Shadow Price" @default.
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