论文标题
在Càdlàg价格流程的比例交易成本下，强大的公用事业最大化
Robust utility maximisation under proportional transaction costs for càdlàg price processes
论文作者
论文摘要
我们考虑在连续时间金融市场中具有强大的公用事业最大化，并在模型不确定性下具有比例交易成本。为此，我们在Chau andRásonyi（2019）的框架中工作，在这种情况下，通过在同一基础过滤概率上给出的可能不可数的模型中最大化最差的预期效用来实现鲁棒性，并且具有不完整的过滤。在这种情况下，我们为存在最佳交易策略的存在提供了足够的条件，该策略扩展了Chau和Rásonyi（2019）的正面半行的结果的结果，从持续到一般到一般的正面càdlàg价格流程。这一结果使我们能够为Chau和Rásonyi（2019）中指出的一个开放问题提供积极的答案，并表明将嵌入到可数的产品空间中并不是必不可少的。
We consider robust utility maximisation in continuous-time financial markets with proportional transaction costs under model uncertainty. For this purpose, we work in the framework of Chau and Rásonyi (2019), where robustness is achieved by maximising the worst-case expected utility over a possibly uncountable class of models that are all given on the same underlying filtered probability space with incomplete filtration. In this setting, we give sufficient conditions for the existence of an optimal trading strategy extending the result for utility functions on the positive half-line of Chau and Rásonyi (2019) from continuous to general strictly positive càdlàg price processes. This result allows us to provide a positive answer to an open question pointed out in Chau and Rásonyi (2019), and shows that the embedding into a countable product space is not essential.
