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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Official URL: https://dx.doi.org/10.1111/mafi.12018
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 |
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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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