price, i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of …. We also clarify the connection between shadow prices and duality theory. Whereas dual minimizers need not lead to shadow …

is a supermartingale under all pricing measures; local boundedness of the price process is not required; neither strict …

also mathematically general as they work in (possibly infinite-dimensional) linear spaces. <p>The valuation theory … presented seems to fill a gap between arbitrage valuation on the one hand and utility maximization (or equilibrium theory) on …

market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor … dynamically consistent coherent risk measure, which allows for model uncertainty in the distributions of both the asset price … dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general …