arXiv q-fin· L\'or\'ant Nagy, Mikl\'os R\'asonyi·· 13 hr agoAI Score33
On the Utility Problem in Markets with Instantaneous Price Impact
On the utility problem in a market where price impact is transient
AI summary
For a discrete-time financial market model with trades having instantaneous price impact, the existence of a solution to the corresponding utility maximization problem is proven. This study removes the unnatural restrictions on market depth and resilience processes present in earlier work, with the non-standard feature of this problem being that the set of attainable portfolio values may not satisfy convexity.
Source:arXiv q-fin · arxiv.org
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