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arxiv: 1803.04213 · v2 · pith:6UXMG2SGnew · submitted 2018-03-12 · 💱 q-fin.MF

Robust utility maximization in markets with transaction costs

classification 💱 q-fin.MF
keywords utilityconsidercoststransactionappropriateassumptionsaxisclass
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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.

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