Muhle-Karbe, Johannes; Kallsen, Jan; Campi, Luciano; … - Université Paris-Dauphine (Paris IX) - 2013
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 {\em shadow market} that yields the same optimal … short selling constraints are a sufficient condition to warrant their existence, even in very general multi-currency market …