{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,10,5]],"date-time":"2023-10-05T21:21:02Z","timestamp":1696540862241},"reference-count":31,"publisher":"Springer Science and Business Media LLC","issue":"4","license":[{"start":{"date-parts":[[2012,12,19]],"date-time":"2012-12-19T00:00:00Z","timestamp":1355875200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2013,10]]},"DOI":"10.1007\/s00780-012-0201-4","type":"journal-article","created":{"date-parts":[[2012,12,18]],"date-time":"2012-12-18T11:22:41Z","timestamp":1355829761000},"page":"801-818","source":"Crossref","is-referenced-by-count":17,"title":["On the existence of shadow prices"],"prefix":"10.1007","volume":"17","author":[{"given":"Giuseppe","family":"Benedetti","sequence":"first","affiliation":[]},{"given":"Luciano","family":"Campi","sequence":"additional","affiliation":[]},{"given":"Jan","family":"Kallsen","sequence":"additional","affiliation":[]},{"given":"Johannes","family":"Muhle-Karbe","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2012,12,19]]},"reference":[{"key":"201_CR1","doi-asserted-by":"crossref","first-page":"42","DOI":"10.1137\/090774458","volume":"49","author":"S. Biagini","year":"2011","unstructured":"Biagini, S., \u010cern\u00fd, A.: Admissible strategies in semimartingale portfolio selection. SIAM J. Control Optim. 49, 42\u201372 (2011)","journal-title":"SIAM J. Control Optim."},{"key":"201_CR2","doi-asserted-by":"crossref","first-page":"495","DOI":"10.1007\/s007800200068","volume":"6","author":"B. Bouchard","year":"2002","unstructured":"Bouchard, B.: Utility maximization on the real line under proportional transaction costs. Finance Stoch. 6, 495\u2013516 (2002)","journal-title":"Finance Stoch."},{"key":"201_CR3","doi-asserted-by":"crossref","first-page":"579","DOI":"10.1007\/s00780-006-0022-4","volume":"10","author":"L. Campi","year":"2006","unstructured":"Campi, L., Schachermayer, W.: A super-replication theorem in Kabanov\u2019s model of transaction costs. Finance Stoch. 10, 579\u2013596 (2006)","journal-title":"Finance Stoch."},{"key":"201_CR4","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1007\/s00780-010-0125-9","volume":"15","author":"L. Campi","year":"2011","unstructured":"Campi, L., Owen, M.P.: Multivariate utility maximization with proportional transaction costs. Finance Stoch. 15, 461\u2013499 (2011)","journal-title":"Finance Stoch."},{"key":"201_CR5","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1111\/j.1467-9965.1996.tb00075.x","volume":"6","author":"J. Cvitani\u0107","year":"1996","unstructured":"Cvitani\u0107, J., Karatzas, I.: Hedging and portfolio optimization under transaction costs: a martingale approach. Math. Finance 6, 133\u2013165 (1996)","journal-title":"Math. Finance"},{"key":"201_CR6","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1007\/s007800050051","volume":"3","author":"J. Cvitani\u0107","year":"1999","unstructured":"Cvitani\u0107, J., Pham, H., Touzi, N.: A closed-form solution to the problem of super-replication under transaction costs. Finance Stoch. 3, 35\u201354 (1999)","journal-title":"Finance Stoch."},{"key":"201_CR7","doi-asserted-by":"crossref","first-page":"223","DOI":"10.1016\/S0304-4068(00)00066-5","volume":"35","author":"J. Cvitani\u0107","year":"2001","unstructured":"Cvitani\u0107, J., Wang, H.: On optimal wealth under transaction costs. J. Math. Econ. 35, 223\u2013231 (2001)","journal-title":"J. Math. Econ."},{"key":"201_CR8","doi-asserted-by":"crossref","unstructured":"Czichowsky, C., Muhle-Karbe, J., Schachermayer, W.: Transaction costs, shadow prices, and connections to duality. Preprint 1205.4643 (2012)","DOI":"10.2139\/ssrn.2342201"},{"key":"201_CR9","doi-asserted-by":"crossref","first-page":"1353","DOI":"10.1214\/aoap\/1015345406","volume":"11","author":"G. Deelstra","year":"2001","unstructured":"Deelstra, G., Pham, H., Touzi, N.: Dual formulation of the utility maximization problem under transaction costs. Ann. Appl. Probab. 11, 1353\u20131383 (2001)","journal-title":"Ann. Appl. Probab."},{"key":"201_CR10","volume-title":"Probabilities and Potential, vol. B","author":"C. Dellacherie","year":"1982","unstructured":"Dellacherie, C., Meyer, P.-A.: Probabilities and Potential, vol. B. North-Holland, Amsterdam (1982)"},{"key":"201_CR11","series-title":"Lecture Notes in Mathematics","first-page":"73","volume-title":"Ecole d\u2019Et\u00e9 de Probabilit\u00e9s de Saint-Flour IX-1979","author":"N. El Karoui","year":"1979","unstructured":"El Karoui, N.: Les aspects probabilistes du contr\u00f4le stochastique. In: Hennequin, P.L. (ed.) Ecole d\u2019Et\u00e9 de Probabilit\u00e9s de Saint-Flour IX-1979. Lecture Notes in Mathematics, vol. 876, pp. 73\u2013238. Springer, Berlin (1979)"},{"key":"201_CR12","doi-asserted-by":"crossref","unstructured":"Gerhold, S., Guasoni, P., Muhle-Karbe, J., Schachermayer, W.: Transaction costs, trading volume, and the liquidity premium. Preprint 1108.1167 (2012)","DOI":"10.2139\/ssrn.1905077"},{"key":"201_CR13","author":"S. Gerhold","year":"2011","unstructured":"Gerhold, S., Muhle-Karbe, J., Schachermayer, W.: The dual optimizer for the growth-optimal portfolio under transaction costs. Finance Stoch. (2011). doi: 10.1007\/s00780-011-0166-g","journal-title":"Finance Stoch."},{"key":"201_CR14","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/S0304-4149(00)00011-9","volume":"89","author":"T. Goll","year":"2000","unstructured":"Goll, T., Kallsen, J.: Optimal portfolios for logarithmic utility. Stoch. Process. Appl. 89, 31\u201348 (2000)","journal-title":"Stoch. Process. Appl."},{"key":"201_CR15","doi-asserted-by":"crossref","first-page":"1227","DOI":"10.1214\/aoap\/1037125861","volume":"12","author":"P. Guasoni","year":"2002","unstructured":"Guasoni, P.: Optimal investment with transaction costs and without semimartingales. Ann. Appl. Probab. 12, 1227\u20131246 (2002)","journal-title":"Ann. Appl. Probab."},{"key":"201_CR16","doi-asserted-by":"crossref","first-page":"491","DOI":"10.1214\/07-AAP461","volume":"18","author":"P. Guasoni","year":"2008","unstructured":"Guasoni, P., R\u00e1sonyi, M., Schachermayer, W.: Consistent price systems and face-lifting pricing under transaction costs. Ann. Appl. Probab. 18, 491\u2013520 (2008)","journal-title":"Ann. Appl. Probab."},{"key":"201_CR17","unstructured":"Herzegh, A., Prokaj, V.: Shadow price in the power utility case. Preprint arXiv:1112.4385 (2011)"},{"key":"201_CR18","doi-asserted-by":"crossref","first-page":"178","DOI":"10.1006\/jeth.1995.1037","volume":"66","author":"E. Jouini","year":"1995","unstructured":"Jouini, E., Kallal, H.: Martingales and arbitrage in securities markets with transaction costs. J. Econ. Theory 66, 178\u2013197 (1995)","journal-title":"J. Econ. Theory"},{"key":"201_CR19","volume-title":"Markets with Transaction Costs","author":"Yu.M. Kabanov","year":"2009","unstructured":"Kabanov, Yu.M., Safarian, M.: Markets with Transaction Costs. Springer, Berlin (2009)"},{"key":"201_CR20","doi-asserted-by":"crossref","first-page":"237","DOI":"10.1007\/s007800050061","volume":"3","author":"Yu.M. Kabanov","year":"1999","unstructured":"Kabanov, Yu.M.: Hedging and liquidation under transaction costs in currency markets. Finance Stoch. 3, 237\u2013248 (1999)","journal-title":"Finance Stoch."},{"key":"201_CR21","doi-asserted-by":"crossref","first-page":"1341","DOI":"10.1214\/09-AAP648","volume":"20","author":"J. Kallsen","year":"2010","unstructured":"Kallsen, J., Muhle-Karbe, J.: On using shadow prices in portfolio optimization with transaction costs. Ann. Appl. Probab. 20, 1341\u20131358 (2010)","journal-title":"Ann. Appl. Probab."},{"key":"201_CR22","doi-asserted-by":"crossref","first-page":"251","DOI":"10.1007\/s00186-011-0345-6","volume":"73","author":"J. Kallsen","year":"2011","unstructured":"Kallsen, J., Muhle-Karbe, J.: Existence of shadow prices in finite probability spaces. Math. Methods Oper. Res. 73, 251\u2013262 (2011)","journal-title":"Math. Methods Oper. Res."},{"key":"201_CR23","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4684-0302-2","volume-title":"Brownian Motion and Stochastic Calculus","author":"I. Karatzas","year":"1988","unstructured":"Karatzas, I., Shreve, S.E.: Brownian Motion and Stochastic Calculus. Springer, New York (1988)"},{"key":"201_CR24","doi-asserted-by":"crossref","DOI":"10.1007\/b98840","volume-title":"Methods of Mathematical Finance","author":"I. Karatzas","year":"1998","unstructured":"Karatzas, I., Shreve, S.E.: Methods of Mathematical Finance. Springer, New York (1998)"},{"key":"201_CR25","doi-asserted-by":"crossref","first-page":"904","DOI":"10.1214\/aoap\/1029962818","volume":"9","author":"D. Kramkov","year":"1999","unstructured":"Kramkov, D., Schachermayer, W.: The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Ann. Appl. Probab. 9, 904\u2013950 (1999)","journal-title":"Ann. Appl. Probab."},{"key":"201_CR26","doi-asserted-by":"crossref","first-page":"45","DOI":"10.1007\/s11579-010-0027-9","volume":"3","author":"C. K\u00fchn","year":"2010","unstructured":"K\u00fchn, C., Stroh, M.: Optimal portfolios of a small investor in a limit order market: a shadow price approach. Math. Financ. Econ. 3, 45\u201372 (2010)","journal-title":"Math. Financ. Econ."},{"key":"201_CR27","doi-asserted-by":"crossref","first-page":"585","DOI":"10.1287\/moor.23.3.585","volume":"23","author":"D. Lamberton","year":"1998","unstructured":"Lamberton, D., Pham, H., Schweizer, M.: Local risk-minimization under transaction costs. Math. Oper. Res. 23, 585\u2013612 (1998)","journal-title":"Math. Oper. Res."},{"key":"201_CR28","doi-asserted-by":"crossref","first-page":"805","DOI":"10.1093\/rfs\/15.3.805","volume":"15","author":"H. Liu","year":"2002","unstructured":"Liu, H., Loewenstein, M.: Optimal portfolio selection with transaction costs and finite horizons. Rev. Financ. Stud. 15, 805\u2013835 (2002)","journal-title":"Rev. Financ. Stud."},{"key":"201_CR29","doi-asserted-by":"crossref","first-page":"209","DOI":"10.1016\/S0304-4068(99)00013-0","volume":"33","author":"M. Loewenstein","year":"2000","unstructured":"Loewenstein, M.: On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market. J. Math. Econ. 33, 209\u2013228 (2000)","journal-title":"J. Math. Econ."},{"key":"201_CR30","volume-title":"Convex Analysis","author":"R.T. Rockafellar","year":"1972","unstructured":"Rockafellar, R.T.: Convex Analysis. Princeton University Press, Princeton (1972)"},{"key":"201_CR31","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1111\/j.0960-1627.2004.00180.x","volume":"14","author":"W. Schachermayer","year":"2004","unstructured":"Schachermayer, W.: The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Math. Finance 14, 19\u201348 (2004)","journal-title":"Math. Finance"}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-012-0201-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-012-0201-4\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-012-0201-4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,7,7]],"date-time":"2019-07-07T04:52:09Z","timestamp":1562475129000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-012-0201-4"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,12,19]]},"references-count":31,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2013,10]]}},"alternative-id":["201"],"URL":"https:\/\/doi.org\/10.1007\/s00780-012-0201-4","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,12,19]]}}}