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摘要翻译：
对于具有比例交易费用的投资组合选择问题，我们讨论了是否存在“影子价格”，即导致相同最优策略和效用的最小有利的无摩擦市场扩展。通过一个明确的反例，我们证明了即使在看似完全良性的情况下，即对数投资者在价格有界、交易费用任意小的无套利市场上交易时，影子价格也可能不存在。我们还阐明了影子价格与对偶理论之间的联系。虽然对偶极小值不需要导致上述“全局”意义上的影子价格，但我们表明它们总是对应于“局部”版本。
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英文标题：
《Transaction Costs, Shadow Prices, and Duality in Discrete Time》
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作者：
Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer
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最新提交年份：
2014
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a "shadow price", i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of an explicit counter-example, we show that shadow prices may fail to exist even in seemingly perfectly benign situations, i.e., for a log-investor trading in an arbitrage-free market with bounded prices and arbitrarily small transaction costs. We also clarify the connection between shadow prices and duality theory. Whereas dual minimizers need not lead to shadow prices in the above "global" sense, we show that they always correspond to a "local" version.
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PDF链接：
https://arxiv.org/pdf/1205.4643
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