On using shadow prices in portfolio optimization with transaction costs
On using shadow prices in portfolio optimization with transaction costs
In frictionless markets, utility maximization problems are typically solved either by stochastic control or by martingale methods. Beginning with the seminal paper of Davis and Norman [Math. Oper. Res. 15 (1990) 676--713], stochastic control theory has also been used to solve various problems of this type in the presence of …