Before revision:  By means of an explicit counter-example, we show that shadow prices may fail to exist even in seemingly perfectly benign situations, i.e., for a log-investor trading in an arbitrage-free market with bounded prices and constant transaction costsof arbitrary size .
After revision:  By means of an explicit counter-example, we show that shadow prices may fail to exist even in seemingly perfectly benign situations, i.e., for a log-investor trading in an arbitrage-free market with bounded prices and arbitrarily small transaction costs .