Robust utility maximization in markets with transaction costs
Mathematical Finance
2018-12-06 v2
Abstract
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We consider utility functions defined either on the positive axis or on the whole real line.
Keywords
Cite
@article{arxiv.1803.04213,
title = {Robust utility maximization in markets with transaction costs},
author = {Huy N. Chau and Miklos Rasonyi},
journal= {arXiv preprint arXiv:1803.04213},
year = {2018}
}