Valuation and martingale properties of shadow prices: an exposition

Foldes, Lucien (2000) Valuation and martingale properties of shadow prices: an exposition. Journal of economic dynamics and control, 24 (11-12). pp. 1641-1701. ISSN 0165-1889

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Item Type:	Article
Official URL:	http://www.sciencedirect.com/science/journal/01651...
Additional Information:	© 2000 Elsevier Science
Uncontrolled Keywords:	Valuation; Investment; Optimisation; Continuous time; Martingales; Transversality; Time change
Library of Congress subject classification:	H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System:	D - Microeconomics > D9 - Intertemporal Choice and Growth D - Microeconomics > D4 - Market Structure and Pricing > D46 - Value Theory D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Sets:	Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online Departments > Economics
Rights:	http://www.lse.ac.uk/library/rights/LSERO.htm
URL:	http://eprints.lse.ac.uk/3917/

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