摘要翻译：
对于比例交易费用下的效用最大化问题，人们观察到，具有交易费用的原始市场有时可以被产生相同最优策略和效用的无摩擦“影子市场”所取代。然而，到目前为止，这是否确实普遍成立的问题仍然难以捉摸。本文给出了一个反例，说明影子价格可能不存在。另一方面，我们证明了卖空约束是保证卖空约束存在的充分条件，即使在买卖价差可能不连续的非常一般的多货币市场模型中也是如此。
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英文标题：
《On the Existence of Shadow Prices》
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作者：
Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe
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最新提交年份：
2013
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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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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
  For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless "shadow market" that yields the same optimal strategy and utility. However, the question of whether or not this indeed holds in generality has remained elusive so far. In this paper we present a counterexample which shows that shadow prices may fail to exist. On the other hand, we prove that short selling constraints are a sufficient condition to warrant their existence, even in very general multi-currency market models with possibly discontinuous bid-ask-spreads.
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PDF链接：
https://arxiv.org/pdf/1111.6633