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Robust utility maximization in markets with transaction costs

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  • Huy N. Chau
  • Miklos Rasonyi

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.

Suggested Citation

  • Huy N. Chau & Miklos Rasonyi, 2018. "Robust utility maximization in markets with transaction costs," Papers 1803.04213, arXiv.org, revised Dec 2018.
    • Handle: RePEc:arx:papers:1803.04213
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    References listed on IDEAS

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