题目：super-replication and utility maximization under model uncertainty with transaction cost

主讲：邓硕青

时间：2018年4月22日 14:00

地点：理学院118

主办：理学院

主讲概况：邓硕青，巴黎九大博士。研究专长：金融数学。2012年毕业于北京大学获学士学位，2015年获法国巴黎高科ENSAE统计学硕士学位和巴黎九大金融数学硕士学位，巴黎九大博士生。

主讲内容：We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem as well as an exponential utility maximization problem. The main objective is to obtain some duality results which are well known in the classical dominated context. Our main idea is to based on a randomization technique together with a minimax argument to transform the initial problem on an enlarged space without transaction cost, which allows to recover the techniques and results such as that in the framework of Bouchard and Nutz(2013) without transaction cost.

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