On optimal investment for a behavioural investor in multiperiod incomplete market models

2011/07/08 by Laurence Carassus, Carassus, Laurence, Miklos Rasonyi +1
Economics, Econometrics and Finance · Mathematics · #91G10 #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #math.OC #math.PR #msc:91G10 #q-fin.PM

paper · pdf · doi:10.48550/arxiv.1107.1617

arxiv created 2012/10/02 · arxiv updated 2012/10/03

Abstract

We provide easily verifiable conditions for the well-posedness of the optimal investment problem for a behavioral investor in an incomplete discrete-time multiperiod financial market model, for the first time in the literature. Under two different sets of assumptions we also establish the existence of optimal strategies.

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