Before revision: We consider the problem of maximizing expected power util- ity from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in the paper Shreve and Soner  (1994) . Similarly  to Kallsen and Muhle-Karbe  (2010)  , we derive a shadow price, that is, a frictionless price process with values in the bid-ask spread which leads to the same optimal policy . In doing so we explore and exploit the strong relationship between the shadow price and the Hamilton-Jacobi-Bellman-equation .
After revision: We consider the problem of maximizing expected power util- ity from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in the paper Shreve and Soner (1994) . Similarly to Kallsen and Muhle-Karbe (2010) , we derive a shadow price, that is, a frictionless price process with values in the bid-ask spread which leads to the same optimal policy .