发帖
雷达卡
英文标题：
《A note on utility maximization with transaction costs and random
endoment: num\\\'eraire-based model and convex duality》
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作者：
Lingqi Gu and 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 note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselves to the num\\\'eraire-based model and work with utility functions only supporting R+. Under the assumption of existence of consistent price systems and natural regularity conditions, standard convex duality results are established. Precisely, we first enlarge the dual domain from the collection of martingale densities associated with consistent price systems to a set of finitely additive measures; then the dual formulation of the utility maximization problem can be regarded as an extension of the paper of Cvitani\\\'c-Schachermayer-Wang (2001) to the context under proportional transaction costs.
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中文摘要：
在本文中，我们研究了在比例交易成本和有界随机捐赠条件下终端财富的效用最大化问题。特别是，我们将自己局限于基于num的模型，并且只使用支持R+的实用函数。在一致价格系统和自然正则条件存在的假设下，建立了标准凸对偶结果。确切地说，我们首先将对偶域从与一致价格系统相关的鞅密度集合扩大到一组有限可加测度；然后，效用最大化问题的对偶公式可以被视为Cvitani逖c-Schachermayer-Wang（2001）论文在比例交易成本下的扩展。
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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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