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On the utility problem in a market where price impact is transient

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  • L'or'ant Nagy
  • Mikl'os R'asonyi

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.

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  • L'or'ant Nagy & Mikl'os R'asonyi, 2025. "On the utility problem in a market where price impact is transient," Papers 2511.12093, arXiv.org.
    • Handle: RePEc:arx:papers:2511.12093
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    File URL: http://arxiv.org/pdf/2511.12093
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