Robust utility maximization in markets with transaction costs

Huy N. Chau and Miklos Rasonyi

Papers from arXiv.org

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

Date: 2018-03, Revised 2018-12
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1803.04213

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