英文标题：
《Utility maximization problem with random endowment and transaction
costs: when wealth may become negative》
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作者：
Yiqing Lin and Junjian Yang
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最新提交年份：
2016
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英文摘要：
In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality between the primal utility maximization problem and the dual one, which is set up on the domain of finitely additive measures. In particular, we prove duality results for utility functions supporting possibly negative values. Moreover, we construct the shadow market by the dual optimal process and consider the utility based pricing for random endowment.
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中文摘要：
本文研究了具有比例交易成本和随机捐赠的终端财富的期望效用最大化问题。在一致价格系统存在的背景下，我们考虑了原效用最大化问题和对偶效用最大化问题之间的对偶性，对偶效用最大化问题建立在有限可加测度域上。特别地，我们证明了效用函数可能支持负值的对偶结果。此外，我们利用对偶最优过程构造了影子市场，并考虑了基于效用的随机捐赠定价。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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