Neufeld, Ariel; Sikic, Mario (2018). Robust Utility Maximization in Discrete-Time Markets with Friction. SIAM Journal on Control and Optimization, 56(3):1912-1937.
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.
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.
| Contributors: | SIAM Journal on Control and Optimization |
|---|---|
| Item Type: | Journal Article, refereed, original work |
| Communities & Collections: | 03 Faculty of Economics > Department of Banking and Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Physical Sciences > Control and Optimization
Physical Sciences > Applied Mathematics |
| Language: | English |
| Date: | 2018 |
| Deposited On: | 18 Feb 2020 12:08 |
| Last Modified: | 27 Jan 2022 01:26 |
| Publisher: | Society for Industrial and Applied Mathematics |
| ISSN: | 0363-0129 |
| OA Status: | Green |
| Publisher DOI: | https://doi.org/10.1137/16M1101829 |
| Official URL: | https://epubs.siam.org/doi/abs/10.1137/16M1101829 |
| Other Identification Number: | merlin-id:17803 |
Neufeld, Ariel