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On optimal investment for a behavioral investor in multiperiod incomplete market Models

Carassus, L. and Rásonyi, Miklós (2013) On optimal investment for a behavioral investor in multiperiod incomplete market Models. MATHEMATICAL FINANCE: AN INTERNATIONAL JOURNAL OF MATHEMATICS, STATISTICS AND FINANCIAL ECONOMICS, 25 (1). pp. 115-153. ISSN 0960-1627

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Abstract

We study the optimal investment problem for a behavioral investor in an incomplete discrete-time multiperiod financial market model. For the first time in the literature, we provide easily verifiable and interpretable conditions for well-posedness. Under two different sets of assumptions, we also establish the existence of optimal strategies. © 2015 Wiley Periodicals, Inc.

Item Type: Article
Uncontrolled Keywords: Probability distortion; Optimization; Existence and well-posedness in behavioral finance; Choquet integral; "S-shaped" utility function
Subjects: H Social Sciences / társadalomtudományok > HG Finance / pénzügy
Q Science / természettudomány > QA Mathematics / matematika
SWORD Depositor: MTMT SWORD
Depositing User: MTMT SWORD
Date Deposited: 17 Nov 2015 08:50
Last Modified: 17 Nov 2015 08:50
URI: http://real.mtak.hu/id/eprint/30234

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