Robust utility maximization with proportional transaction costs
Abstract
The existence of solutions of the robust utility maximization problem under proportional transaction costs is discussed. Utility functions are defined either on R+ or on R, risky asset prices have continuous trajectories and... [ view full abstract ]
Authors
- Ngoc Huy Chau (Alfred Renyi Institute of Mathematics)
- Miklós Rásonyi (MTA Alfred Renyi Institute of Mathematics)
Topic Areas
Optimal Investment , Robustness , Transaction Costs
Session
Th-A-B2 » Portfolio Optimisation with Transaction Costs (11:30 - Thursday, 19th July, Beckett 2)
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