Construction of a shadow price for discrete infinite horizon discounted functionals

Autorzy

Dane publikacji

  • DOI: 10.4064/am2576-10-2025

  • Tom 52

  • Zeszyt 2

  • Czasopismo: Applicationes Mathematicae

  • Strony: 151-166

  • Data publikacji online: 02.11.2025

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Abstrakt

We consider the problem of portfolio optimization for an infinite discrete time horizon under transaction costs. We study Bellman equations for this problem. The main goal of this article is to construct a shadow price, i.e. to prove the existence of an equivalent market without transaction costs for which the optimal strategy is the same as in the market with transaction costs.