Robust no arbitrage and the solvability of vector-valued utility maximization problems

Andreas H Hamel; Birgit Rudloff; Zhou Zhou

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arXiv · 1909.00354

Robust no arbitrage and the solvability of vector-valued utility maximization problems

Andreas H Hamel·Birgit Rudloff·Zhou Zhou

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Abstract

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.

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BibTeX RIS

Andreas H Hamel, Birgit Rudloff, Zhou Zhou. 2019-09-01. Robust no arbitrage and the solvability of vector-valued utility maximization problems. https://arxiv.org/abs/1909.00354

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