The Edge - Series by Ilona Andrews

The Edge lies between worlds, on the border between the Broken, where people shop at Walmart and magic is a fairytale – and the Weird, where blueblood aristocrats rule, changelings roam, and the strength of your magic can change your destiny. Only Edgers, the people who live in that narrow in-between strip, can easily travel from one world to the next, but they never truly belong in either.

Tags: elves, magic, paranormal romance, shapeshifters