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Finding an optimal mechanism in a standard adverse selection model is equivalent to solving an infinite dimensional linear program. We begin with certain feasible mechanisms— those implemented by auct...
Transaction Costs, Shadow Prices, and Connections to Duality
transaction costs utility maximization shadow price convex duality
2012/6/5
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same opti...