Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Utility maximization with proportional transaction costs under model
  uncertainty   We consider a discrete time financial market with proportional transaction
costs under model uncertainty, and study a num\'eraire-based semi-static
utility maximization problem with an exponential utility preference. The
randomization techniques recently developed in \cite{BDT17} allow us to
transform the original problem into a frictionless counterpart on an enlarged
space. By suggesting a different dynamic programming argument than in
\cite{bartl2016exponential}, 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 \cite{bartl2016exponential} 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.

29
The categories of this paper are: funct-an
1
The categories of this paper are: cs
35
The categories of this paper are: mtrl-th
5
The categories of this paper are: gr-qc
34
The categories of this paper are: chem-ph
18
The categories of this paper are: econ
3
The categories of this paper are: physics
19
The categories of this paper are: eess
31
The categories of this paper are: ao-sci
28
The categories of this paper are: alg-geom
32
The categories of this paper are: atom-ph
12
The categories of this paper are: nucl-th
33
The categories of this paper are: plasm-ph
10
The categories of this paper are: q-bio
7
The categories of this paper are: hep-th
26
The categories of this paper are: bayes-an