英文标题：
《Utility maximization with proportional transaction costs under model
uncertainty》
---
作者：
Shuoqing Deng, Xiaolu Tan, Xiang Yu
---
最新提交年份：
2019
---
英文摘要：
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\\\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization techniques recently developed in \\cite{BDT17} allow us to transform the original problem into a frictionless counterpart on an enlarged space. By suggesting a different dynamic programming argument than in \\cite{bartl2016exponential}, we are able to prove the existence of the optimal strategy and the convex duality theorem in our context with transaction costs. In the frictionless framework, this alternative dynamic programming argument also allows us to generalize the main results in \\cite{bartl2016exponential} to a weaker market condition. Moreover, as an application of the duality representation, some basic features of utility indifference prices are investigated in our robust setting with transaction costs.
---
中文摘要：
我们考虑了模型不确定性条件下具有比例交易成本的离散时间金融市场，并研究了一个基于num的具有指数效用偏好的半静态效用最大化问题。最近在{BDT17}中开发的随机化技术允许我们将原始问题转化为扩大空间上的无摩擦对应问题。通过提出与{Bartl2016Indonential}不同的动态规划论证，我们能够证明最优策略和凸对偶定理的存在性。在无摩擦框架中，这种替代性动态规划论证也允许我们将{Bartl2016Index}中的主要结果推广到较弱的市场条件。此外，作为对偶表示的一个应用，本文在具有交易成本的鲁棒环境下研究了效用无差异价格的一些基本特征。
---
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
--
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
--

---
PDF下载：
-->