Robust utility maximisation in markets with transaction costs

Huy N. Chau () and Miklós Rásonyi ()
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Huy N. Chau: Hungarian Academy of Sciences
Miklós Rásonyi: Hungarian Academy of Sciences

Finance and Stochastics, 2019, vol. 23, issue 3, No 6, 677-696

Abstract: Abstract 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.

Keywords: Utility maximisation; Transaction cost; Model uncertainty; 91G10; 49J27 (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s00780-019-00389-0

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