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exponential disutilityproportional transactionoptimal investmentinvestment contingentcontingent claimclaim valuationvaluation exponentialdisutility proportionaltransaction costsdynamic programmingoption pricing theoryportfolio managementportfolio selectioncosts optimalcosts considerconsider indifferenceindifference pricingpricing contingentcontingent claimsclaims consistingconsisting paymentpayment flowsflows discretediscrete timetime modelmodel proportionalcosts exponentialdisutility settingsetting coverscovers utilityutility maximisationmaximisation specialspecial casecase dualdual representationrepresentation obtainedobtained associatedassociated disutilitydisutility minimisationminimisation problemproblem dynamicdynamic procedureprocedure solvingsolving leadsleads efficientefficient convergentconvergent numericalnumerical procedureprocedure indifferencepricing appliesapplies widewide rangerange payoffspayoffs largelarge rangerange timetime stepssteps magnitudesmagnitudes transactioncostsgeneralized convex hulloption pricingutility maximizationdynamische optimierungmathematische optimierungmathematical programming
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