We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions, we prove the existence of optimal strategies for investors who maximise their worst-case utility over a class of possible models. We consider utility functions defined on either the positive axis or the whole real line.

中文翻译：

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具有交易成本的市场中稳健的效用最大化

我们考虑具有成比例交易成本的连续时间市场。在适当的假设下，我们证明了对于在一类可能的模型中最大化其最坏情况效用的投资者而言，存在最优策略。我们考虑在正轴或整个实线上定义的效用函数。