Behavioural investors in conic market models

Huy N. Chau and Miklos Rasonyi

Papers from arXiv.org

Abstract: We treat a fairly broad class of financial models which includes markets with proportional transaction costs. We consider an investor with cumulative prospect theory preferences and a non-negativity constraint on portfolio wealth. The existence of an optimal strategy is shown in this context in a class of generalized strategies.

Date: 2019-03
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1903.08156

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