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

Laurence Carassus and Miklos Rasonyi

Papers from arXiv.org

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 two different sets of assumptions we also establish the existence of optimal strategies.

Date: 2011-07, Revised 2012-10
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1107.1617

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