On the utility problem in a market where price impact is transient
Portfolio Management
2025-11-18 v1 Probability
Abstract
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage to remove some unnatural restrictions on the market depth and resilience processes that were present in earlier work. A non-standard feature of the problem is that the set of attainable portfolio values may fail the convexity property.
Keywords
Cite
@article{arxiv.2511.12093,
title = {On the utility problem in a market where price impact is transient},
author = {Lóránt Nagy and Miklós Rásonyi},
journal= {arXiv preprint arXiv:2511.12093},
year = {2025}
}