Skorohod's representation theorem and optimal strategies for markets with frictions
Huy N. Chau and
Papers from arXiv.org
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which pertained only to risk-averse utility maximizers. The arguments exploit an extension of Skorohod's representation theorem for tight sequences of probability measures. This method is applicable in a number of similar optimization problems.
New Economics Papers: this item is included in nep-mic and nep-upt
Date: 2016-06, Revised 2017-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1606.07311
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