I have found out that in DirectX 11 Unity is not detecting my Nvidia card. This is from the editor log:
Initialize engine version: 4.5.5f1 (7684ad0c5a44)
GfxDevice: creating device client; threaded=1
Direct3D: Version: Direct3D 11.0 [level 11.0]
Renderer: Intel(R) HD Graphics 4600 (ID=0x416) Vendor: Intel
VRAM: 0 MB
When I switch to DirectX 9 in player settings the card is properly detected:
GfxDevice: creating device client; threaded=1 Direct3D: Version: Direct3D 9.0c [nvumdshim.dll 9.18.13.4460]
Renderer: NVIDIA GeForce GTX 880M
Vendor: NVIDIA
VRAM: 3072 MB (via DXGI)
Caps: Shader=30 DepthRT=1 NativeDepth=1 NativeShadow=1 DF16=0 INTZ=1 RAWZ=0 NULL=1 RESZ=0 SlowINTZ=0
As a result, unity is turning off shadows due to performance reasons. Yet, I have no idea how to fix it. I have assigned Unity to run with Nvidia card in the Nvidia control panel.