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dc.contributor.authorDeng, Shuoqing*
dc.contributor.authorTan, Xiaolu*
dc.contributor.authorYu, Xiang*
dc.date.accessioned2019-04-16T12:44:59Z
dc.date.available2019-04-16T12:44:59Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18667
dc.language.isoenen
dc.subjectconvex dualityen
dc.subjectrandomization methoden
dc.subjectUtility maximizationen
dc.subjecttransaction costsen
dc.subjectmodel uncertaintyen
dc.subjectutility indifference pricingen
dc.subject.ddc519en
dc.titleUtility maximization with proportional transaction costs under model uncertaintyen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a semi-static utility maximization for the case of exponential utility preference. The randomization techniques recently developed in [12] allow us to transform the original problem into a frictionless market framework, however, with the extra probability uncertainty on an enlarged space. Using the one-period duality result in [3], together with measurable selection arguments and minimax theorem, we are able to prove all together the existence of the optimal strategy, convex duality theorem as well as the auxiliary dynamic programming principle in our context with transaction costs. As an application of the duality representation, some important features of utility indifference prices are investigated in the robust setting.en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages27en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01968750en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2019
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-03-26T14:58:29Z
hal.person.labIds60*
hal.person.labIds60*
hal.person.labIds51593*


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