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.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [14 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00605442
Contributor : Laurence Carassus <>
Submitted on : Friday, July 1, 2011 - 3:46:13 PM
Last modification on : Wednesday, December 11, 2019 - 5:10:02 PM
Long-term archiving on: Sunday, October 2, 2011 - 2:30:06 AM

File

willoughby240611.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00605442, version 1

Citation

Laurence Carassus, Miklos Rasonyi. On optimal investment for a behavioral investor in multiperiod incomplete market models. 2011. ⟨hal-00605442⟩

Share

Metrics

Record views

255

Files downloads

189