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On the utility problem in a market where price impact is transient

Published: November 15, 2025 | arXiv ID: 2511.12093v1

By: Lóránt Nagy, Miklós Rásonyi

Potential Business Impact:

Helps investors make better money choices.

Business Areas:
Prediction Markets Financial Services

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.

Page Count
17 pages

Category
Quantitative Finance:
Portfolio Management