Revised Version of Paper on Utility Maximization with Transient Price Impact Released
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Lőrinc Nagy and Miklós Rásonyi have released a revised version of their research paper on utility maximization in markets with transient price impact on arXiv. The paper proves the existence of solutions to the corresponding utility maximization problem for discrete-time financial market models where trading has instantaneous price impact. This study removes the unnatural restrictions on market depth and resilience processes present in earlier work. The revision adds numerous mathematical details and corrects a large number of errors. A non-standard feature of this problem is that the set of achievable portfolio values may not satisfy convexity.
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- arXiv q-finOn the Utility Problem in Markets with Instantaneous Price Impact
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.
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