Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs

Jin-Hyuk Choi, Mihai Sîrbu, Gordan Zitkovic. Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs. SIAM J. Control and Optimization, 51(6):4414-4449, 2013. [doi]

Abstract

Abstract is missing.