2025/11/15 by Nagy, Lóránt, Miklós Rásonyi, Rásonyi, Miklós
Economics, Econometrics and Finance · Decision Sciences · #Stochastic processes and financial applications #Risk and Portfolio Optimization #Economic theories and models
paper · pdf · doi:10.48550/arxiv.2511.12093
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage to remove some unnatural restrictions on the market depth and resilience processes that were present in earlier work. A non-standard feature of the problem is that the set of attainable portfolio values may fail the convexity property.