Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes

Christoph Czichowsky and Raphael Huwyler

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Abstract: We consider robust utility maximisation in continuous-time financial markets with proportional transaction costs under model uncertainty. For this purpose, we work in the framework of Chau and R\'asonyi (2019), where robustness is achieved by maximising the worst-case expected utility over a possibly uncountable class of models that are all given on the same underlying filtered probability space with incomplete filtration. In this setting, we give sufficient conditions for the existence of an optimal trading strategy extending the result for utility functions on the positive half-line of Chau and R\'asonyi (2019) from continuous to general strictly positive c\`adl\`ag price processes. This result allows us to provide a positive answer to an open question pointed out in Chau and R\'asonyi (2019), and shows that the embedding into a countable product space is not essential.

Date: 2022-11, Revised 2024-08
New Economics Papers: this item is included in nep-upt
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