摘要翻译：
对于具有随机且可能不连续的比例交易费用的货币交换模型，我们给出了一个最优投资定理。投资者的偏好由一个多元效用函数表示，允许在给定的终端日期同时消费任何指定的货币选择。在价值函数渐近满足的假设下，证明了最优投资组合过程的存在性。价值函数渐近满足的充分条件包括效用函数的合理渐近弹性或对偶函数的增长条件。我们证明了投资组合优化问题可以用最终清算效用函数的最大化来重新表述，并且两个问题都有一个共同的优化器。
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英文标题：
《Multivariate utility maximization with proportional transaction costs》
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作者：
Luciano Campi and Mark P. Owen
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最新提交年份：
2009
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the currencies at a given terminal date. We prove the existence of an optimal portfolio process under the assumption of asymptotic satiability of the value function. Sufficient conditions for asymptotic satiability of the value function include reasonable asymptotic elasticity of the utility function, or a growth condition on its dual function. We show that the portfolio optimization problem can be reformulated in terms of maximization of a terminal liquidation utility function, and that both problems have a common optimizer.
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PDF链接：
https://arxiv.org/pdf/0811.3889