  We consider the problem of maximizing expected power utility from consumption
over an infinite horizon in the Black-Scholes model with proportional
transaction costs, as studied in Shreve and Soner [Ann. Appl. Probab. 4 (1994)
609-692]. Similar to Kallsen and Muhle-Karbe [Ann. Appl. Probab. 20 (2010)
1341-1358], 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.
