论文标题
Almgren-Chriss模型中基于指数效用的对冲的二元性理论
Duality Theory for Exponential Utility--Based Hedging in the Almgren--Chriss Model
论文作者
论文摘要
在本文中，我们获得了指数效用最大化问题的二元性结果，在该问题中，交易受二次交易成本的约束，并且需要投资者在成熟日期内清算其头寸。作为双重性的应用，我们将基于实用性的对冲在Bachelier模型中。对于具有二次收益的欧洲临时索赔，我们明确计算最佳交易策略。
In this paper, we obtain a duality result for the exponential utility maximization problem where trading is subject to quadratic transaction costs and the investor is required to liquidate her position at the maturity date. As an application of the duality, we treat utility-based hedging in the Bachelier model. For European contingent claims with a quadratic payoff, we compute explicitly the optimal trading strategy.
