Robust no arbitrage and the solvability of vector-valued utility maximization problems

Andreas H Hamel, Birgit Rudloff and Zhou Zhou

Papers from arXiv.org

Abstract: A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed. It is shown that robust no arbitrage holds if, and only if, there exists a Pareto solution for some vector-valued utility maximization problem with component-wise utility functions. Moreover, it is demonstrated that a consistent price process can be constructed from the Pareto maximizer.

Date: 2019-09
New Economics Papers: this item is included in nep-upt
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