Robust utility maximisation in markets with transaction costs
研究了连续时间比例交易成本市场中，投资者在多种可能模型中最大化最坏情况效用的最优策略存在性，适用于考虑模型不确定性的投资者。
Abstract We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions, we prove the existence of optimal strategies for investors who maximise their worst-case utility over a class of possible models. We consider utility functions defined on either the positive axis or the whole real line.