Robust Utility Maximization in Discrete-Time Markets with Friction

Ariel Neufeld and Mario Sikic

Papers from arXiv.org

Abstract: We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This condition is implied by the no-arbitrage condition in models of financial markets. As a corollary, we obtain existence of an utility maximizer in the frictionless market model, markets with proportional transaction costs and also more general convex costs, like in the case of market impact.

Date: 2016-10, Revised 2018-05
New Economics Papers: this item is included in nep-upt
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Citations: View citations in EconPapers (37)

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