Robust no arbitrage and the solvability of vector-valued utility maximization problems
| Autor: | Hamel, Andreas H, Rudloff, Birgit, Zhou, Zhou |
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| Rok vydání: | 2019 |
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| Druh dokumentu: | Working Paper |
| Popis: | A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed. It is shown that robust no arbitrage holds if, and only if, there exists a Pareto solution for some vector-valued utility maximization problem with component-wise utility functions. Moreover, it is demonstrated that a consistent price process can be constructed from the Pareto maximizer. Comment: 9 pages |
| Databáze: | arXiv |
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