Valuation and martingale properties of shadow prices: An exposition

Valuation and martingale properties of shadow prices: An exposition

Source :

• Journal of Economic Dynamics and Control [ 0165-1889 ] ; 2000.

English descriptors

• Teeft :
  • Additional term, Agent maximises, Arrival time, Benchmark, Boundedness condition, Bracket, Brownian motion, Clock time, Clock times, Competitive markets, Complete markets, Conditional expectation, Conditional expectations, Conditions characterising, Constraint, Consumption plans, Consumption time, Consumption times, Continuous process, Continuous time, Continuous trading, Convergence, Corresponding value, Covariance terms, Dellacherie, Depletion lemma, Depletion time, Depletion times, Derivative, Derivative securities, Discrete time, Dynamics, Economic dynamics control, Economic theory, Elsevier science, Equivalent variation, Equivalently, Exogenous income, Feasible plan, Foldes, Foldes journal, Fundamental concepts, Further details, Future dividends, General semimartingales, General theory, Geometric brownian motion, Income process, Incomplete markets, Indicator function, Individual agent, Individual investor, Indivisible, Inequality, Information structure, Initial capital, Integrable, Integrable martingale, Interest centres, Investor, Local martingale, Local martingale condition, Local martingales, Ltration, Marginal utilities, Marginal utility, Marginal utility prices, Marginal utility process, Market price, Market prices, Market process, Martingale, Martingale conditions, Martingale measure, Martingale properties, Martingale property, Martingale representation, Mathematical economics, Mathematical theory, Maximum utility, Michael selby, Nancial, Nancial assets, Natural units, Necessary condition, Necessary conditions, Neutral phase, Nite, Nite life, Nite limit, Nite number, Nite variation, Nite variation process, Nominal price, Nondecreasing process, Notation, Null sets, Obvious notation, Optimal consumption, Optimal holdings, Optimal plan, Optimal portfolio, Optimality, Other hand, Other times, Other words, Para, Parameter values, Perfect substitutes, Portfolio, Portfolio choice, Portfolio optimality, Portfolio plan, Positive probability, Positive returns processes, Positive semi, Positive semimartingale, Present model, Present value, Previous work, Price process, Price processes, Price times, Pricing equations, Probability measure, Project criterion, Project evaluation, Project participation, Random time, Random variables, Relative prices, Returns process, Returns processes, Right continuity, Right limits, Right side, Riskless, Riskless security, Same lines, Same security, Scale factor, Second term, Semi, Shadow price, Shadow price process, Shadow price processes, Shadow prices, Shadow pricing, Short sales, Single security, Special assumptions, Special cases, Special reference, Spending phase, Standard assumptions, Standardised, Standardised units, Star plan, Static theory, Stochastic, Such sequence, Suitable assumptions, Suitable sequence, Supermartingale, Supermartingale inequality, Supermartingale property, Systematic risk, Technical problems, Time change, Time changes, Time integral, Total utility, Total value, Transaction costs, Transversality, Transversality condition, Transversality conditions, Transversality properties, True martingale, True martingales, Upcrossing time, Usual conditions, Utility function, Valuation, Valuation formula, Variation need, Vector process, Wiener.

Abstract

• https://api.istex.fr/document/995A6A7991010377C33F115BE49D015F9ED0DA65/fulltext/pdf

Affiliations:

• Royaume-Uni

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