In this paper, we consider the problem of minimizing expected shortfall for a contingent claim in a continuous-time, multiasset financial market in the presence of proportional transaction costs. By generalizing the convex duality technique of Cvitanic [SIAM J. Control. Optim., 38 (2000), pp. 1050-1066] to the case of multivariate contingent claim, we establish the existence of an optimal trading strategy and describe it in terms of an appropriate dual optimization problem. [References: 12]
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机译：在本文中，我们考虑在存在成比例交易成本的情况下，在连续时间，多资产金融市场中将或有债权的预期缺口最小化的问题。通过推广Cvitanic的凸对偶技术[SIAM J. Control。 Optim。，38（2000），pp.1050-1066]针对多变量或有债权的情况，我们建立了最优交易策略的存在，并根据适当的双重优化问题对其进行了描述。 [参考：12]
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