EconPapers    
Economics at your fingertips  
 

Skorohod's representation theorem and optimal strategies for markets with frictions

Huy N. Chau and Mikl\'os R\'asonyi

Papers from arXiv.org

Abstract: 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1606.07311 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1606.07311

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-04-20
Handle: RePEc:arx:papers:1606.07311