Robust Utility Maximization in Discrete-Time Markets with Friction
Robust Utility Maximization in Discrete-Time Markets with Friction
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a linearity-type condition the problem admits a maximizer. This condition is implied by the no-arbitrage condition in models of financial markets. As a corollary, we obtain existence of a utility maximizer in the …