Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/89351
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Deng, S | en_US |
dc.creator | Tan, X | en_US |
dc.creator | Yu, X | en_US |
dc.date.accessioned | 2021-03-18T03:04:37Z | - |
dc.date.available | 2021-03-18T03:04:37Z | - |
dc.identifier.issn | 0364-765X | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/89351 | - |
dc.language.iso | en | en_US |
dc.publisher | Institute for Operations Research and the Management Sciences | en_US |
dc.rights | Copyright: © 2020 INFORMS | en_US |
dc.rights | This is an Author Accepted Manuscript of an article published by INFORMS, available online: https://doi.org/10.1287/moor.2019.1029 | en_US |
dc.subject | Convex duality | en_US |
dc.subject | Model uncertainty | en_US |
dc.subject | Randomization method | en_US |
dc.subject | Transaction costs | en_US |
dc.subject | Utility indifference pricing | en_US |
dc.subject | Utility maximization | en_US |
dc.title | Utility maximization with proportional transaction costs under model uncertainty | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 1210 | en_US |
dc.identifier.epage | 1236 | en_US |
dc.identifier.volume | 45 | en_US |
dc.identifier.issue | 4 | en_US |
dc.identifier.doi | 10.1287/MOOR.2019.1029 | en_US |
dcterms.abstract | We consider a discrete time financial market with proportional transaction costs under model uncertainty and study a numéraire-based semistatic utility maximization problem with an exponential utility preference. The randomization techniques recently developed in Bouchard, Deng, and Tan [Bouchard B, Deng S, Tan X (2019) Super-replication with proportional transaction cost under model uncertainty. Math. Finance 29(3): 837-860.], allow us to transform the original problem into a frictionless counterpart on an enlarged space. By suggesting a different dynamic programming argument than in Bartl [Bartl D (2019) Exponential utility maximization under model uncertainty for unbounded endowments. Ann. Appl. Probab. 29(1):577-612.], 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 Bartl [Bartl D (2019) Exponential utility maximization under model uncertainty for unbounded endowments. Ann. Appl. Probab. 29(1):577-612.] 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. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Mathematics of operations research, Nov. 2020, v. 45, no. 4, p. 1210-1236 | en_US |
dcterms.isPartOf | Mathematics of operations research | en_US |
dcterms.issued | 2020-11 | - |
dc.identifier.scopus | 2-s2.0-85096034941 | - |
dc.identifier.eissn | 1526-5471 | en_US |
dc.description.validate | 202103 bcvc | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | a0601-n08 | - |
dc.identifier.SubFormID | 543 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.fundingSource | Others | en_US |
dc.description.fundingText | RGC: Hong Kong Early Career Scheme No.25302116 | en_US |
dc.description.pubStatus | Published | en_US |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
a0601-n08_ExpUtility_TC18.pdf | Pre-Published version | 530.93 kB | Adobe PDF | View/Open |
Page views
61
Last Week
0
0
Last month
Citations as of Apr 21, 2024
Downloads
16
Citations as of Apr 21, 2024
SCOPUSTM
Citations
2
Citations as of Apr 19, 2024
WEB OF SCIENCETM
Citations
1
Citations as of Apr 25, 2024
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.