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Fig. 4 | Financial Innovation

Fig. 4

From: Intelligent option portfolio model with perspective of shadow price and risk-free profit

Fig. 4

Shadow Price of W0, ρ, and L. Panel (a) shows how the objective function and three dual variables change when the capital W0 varies from 0 to 2 at the beginning of the current period. The x-axis is the variation range of input factors, and the y-axis is the value of objective function value and the marginal contribution of y1, y2, and y3. In the same way, Panel (b) and Panel (c) show the results of ρ and L respectively. When a parameter is changed, the initial value of other parameters is W0 = 1, ρ = 0.5 and L = 5

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