Robust utility maximization in markets with transaction costs

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.

References in corpus (4)

• Consistent price systems and face-lifting pricing under transaction costs
• Asymptotics of robust utility maximization
• On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets
• On utility maximization without passing by the dual problem

Cited by in corpus (2)

• On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets
• Lifetime Ruin under High-watermark Fees and Drift Uncertainty