Publication: Robust Utility Maximization in Discrete-Time Markets with Friction
Robust Utility Maximization in Discrete-Time Markets with Friction
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Neufeld, A., & Sikic, M. (2018). Robust Utility Maximization in Discrete-Time Markets with Friction. SIAM Journal on Control and Optimization, 56, 1912–1937. https://doi.org/10.1137/16M1101829
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We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a linearity-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 a 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.
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- Neufeld, Ariel
- Sikic, Mario
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Citations
Neufeld, A., & Sikic, M. (2018). Robust Utility Maximization in Discrete-Time Markets with Friction. SIAM Journal on Control and Optimization, 56, 1912–1937. https://doi.org/10.1137/16M1101829
