SIAM Journal on Control and Optimization, Vol.56, No.3, 1912-1937, 2018
ROBUST UTILITY MAXIMIZATION IN DISCRETE-TIME MARKETS WITH FRICTION
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.