We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a semi-static utility maximization for the case of exponential utility preference. Using randomization techniques recently developed in BDT17 , we can transform the original problem into a frictionless market framework, however, with the extra probability uncertainty on an enlarged space. This allows us to prove all together the existence of the optimal strategy,  the auxiliary dynamic programming principle as well as the convex duality theorem in our context with transaction costs. As an application of the duality representation, some important features of utility indifference prices are investigated in the robust setting.
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a semi-static utility maximization for the case of exponential utility preference. The randomization techniques recently developed in BDT17 allow us to transform the original problem into a frictionless market framework, however, with the extra probability uncertainty on an enlarged space. Using the one-period duality result in \mbox{%DIFAUXCMD bartl2016exponential to prove all together the existence of the optimal strategy, convex duality theorem as well as the auxiliary dynamic programming principle in our context with transaction costs. As an application of the duality representation, some important features of utility indifference prices are investigated in the robust setting.
R
Using
The
R
, we can
allow us to
R
This allows us
Using the one-period duality result in \mbox{%DIFAUXCMD bartl2016exponential
A
convex duality theorem as well as
D
as well as the convex duality theorem