摘要翻译：
影子价格是指存在于具有比例交易成本的市场的出价/出价内的过程，使得在无摩擦市场中，在具有这种价格过程的无摩擦市场中，使期望消费效用最大化，从而使效用最大化与在具有交易成本的原始市场中相同。对于有限概率空间，本文给出了这样一个影子价格存在性的初等证明。
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英文标题：
《Existence of Shadow Prices in Finite Probability Spaces》
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作者：
Jan Kallsen, Johannes Muhle-Karbe
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最新提交年份：
2010
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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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英文摘要：
  A shadow price is a process lying within the bid/ask prices of a market with proportional transaction costs, such that maximizing expected utility from consumption in the frictionless market with this price process leads to the same maximal utility as in the original market with transaction costs. For finite probability spaces, this note provides an elementary proof for the existence of such a shadow price.
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PDF链接：
https://arxiv.org/pdf/0911.4801