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

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 suitable assumptions we also establish the existence of optimal strategies.
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2011
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Submitted on : Friday, July 1, 2011 - 3:46:13 PM
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Laurence Carassus, Miklos Rasonyi. On optimal investment for a behavioral investor in multiperiod incomplete market models. 2011. <hal-00605442>

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