Fachgebiet Finanzmathematik

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Shadow price of information in discrete time stochastic optimization

Pennanen, Teemu ; Perkkiö, Ari-Pekka (2017)

The shadow price of information has played a central role in stochastic optimization ever since its introduction by Rockafellar and Wets in the mid-seventies. This article studies the concept in an extended formulation of the problem and gives relaxed sufficient conditions for its existence. We allow for general adapted decision strategies, which enables one to establish the existence of soluti...