Robust utility maximization in discrete-time markets with friction

Ariel Neufeld; Mario Sikic

doi:10.1137/16M1101829

Robust utility maximization in discrete-time markets with friction

Ariel Neufeld, Mario Sikic

Research output: Contribution to journal › Article › peer-review

15 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	1912-1937
Number of pages	26
Journal	SIAM Journal on Control and Optimization
Volume	56
Issue number	3
DOIs	https://doi.org/10.1137/16M1101829
Publication status	Published - 2018
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2018 Society for Industrial and Applied Mathematics.

ASJC Scopus Subject Areas

Control and Optimization
Applied Mathematics

Keywords

Financial markets with friction
Robust optimization
Utility maximization

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10.1137/16M1101829

Cite this

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AB - 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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Robust utility maximization in discrete-time markets with friction

Abstract

Bibliographical note

ASJC Scopus Subject Areas

Keywords

Access to Document

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