Super-replication with proportional transaction cost under model\n uncertainty

2017/07/28 by Bruno Bouchard, Bouchard, Bruno, Shuoqing Deng +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1707.09158

openalex publication_date 2017/07/28 · openalex created_date 2019/07/30 · openalex updated_date 2026/07/28

Abstract

We consider a discrete time financial market with proportional transaction\ncost under model uncertainty, and study a super-replication problem. We recover\nthe duality results that are well known in the classical dominated context. Our\nkey argument consists in using a randomization technique together with the\nminimax theorem to convert the initial problem to a frictionless problem set on\nan enlarged space. This allows us to appeal to the techniques and results of\nBouchard and Nutz (2015) to obtain the duality result.\n

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• Utility maximization with proportional transaction costs under model\n uncertainty

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