On the quasi-sure superhedging duality with frictions
研究了离散时间金融市场在比例交易成本和模型不确定性下的超对冲对偶性，去除了第二类无套利的限制，在更自然的严格无套利条件下证明了对偶性，并推广到有投资组合约束的模型。
Abstract We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modelled through solvency cones as in the original model of Kabanov (Finance Stoch. 3:237–248, 1999) adapted to the quasi-sure setup of Bouchard and Nutz (Ann. Appl. Probab. 25:823–859, 2015). Our approach allows removing the restrictive assumption of no arbitrage of the second kind considered in Bouchard et al. (Math. Finance 29:837–860, 2019) and showing the duality under the more natural condition of strict no arbitrage. In addition, we extend the results to models with portfolio constraints.