Chau, Ngoc Huy and Rásonyi, Miklós (2017) Skorohod's representation theorem and optimal strategies for markets with frictions. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 55 (6). pp. 3592-3608. ISSN 0363-0129
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Official URL: https://doi.org/10.1137/16M1081336
Abstract
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which previously pertained only to risk-averse utility maximizers. The arguments exploit an extension of Skorohod's representation theorem for tight sequences of probability measures. This method is applicable in a number of similar optimization problems. © 2017 Society for Industrial and Applied Mathematics.
Item Type: | Article |
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Uncontrolled Keywords: | Commerce; representation theorem; Probability measures; Optimization problems; Cumulative prospect theory; Optimal systems; Friction; Continuous time systems; Skorohod's representation; Optimization; Nonconcave utility; Market frictions; Illiquidity |
Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
SWORD Depositor: | MTMT SWORD |
Depositing User: | MTMT SWORD |
Date Deposited: | 18 Jan 2018 15:30 |
Last Modified: | 18 Jan 2018 15:30 |
URI: | http://real.mtak.hu/id/eprint/72708 |
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