英文标题：
《Multistage Portfolio Optimization: A Duality Result in Conic Market
Models》
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作者：
Robert Bassett and Khoa Le
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最新提交年份：
2016
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英文摘要：
We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov\'s model of foreign exchange markets over a finite probability space and finite-horizon discrete time steps. This framework allows us to compare vector-valued portfolios under a partial ordering, so that our model does not require liquidation into some numeraire at terminal time. We embed the vector-valued portfolio problem into the set-optimization framework, and generate a problem dual to portfolio optimization. Using recent results in the development of set optimization, we then show that a strong duality relationship holds between the problems.
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中文摘要：
我们证明了具有比例交易成本的市场中多阶段投资组合优化问题的一般对偶结果。金融市场由卡巴诺夫的外汇市场模型在有限概率空间和有限时域离散时间步上描述。这个框架允许我们在偏序下比较向量值的投资组合，这样我们的模型就不需要在最后时刻清算成一些数字。我们将向量值投资组合问题嵌入到集合优化框架中，并生成一个与投资组合优化对偶的问题。利用集合优化发展的最新结果，我们证明了问题之间存在着强大的对偶关系。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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