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

Laurence Carassus (1) , Miklos Rasonyi (2)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 MTA SZTAKI - Computer and Automation Research Institute [Budapest]

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.

Keywords: ''S-shaped'' utility function; Choquet integral.; Optimisation; existence and well-posedness in behavioral finance; S-shaped'' utility function; distorsion; Choquet integral

Domains: Probability [math.PR]

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