ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS

We study the optimal investment problem for a behavioral investor in an incomplete discrete‐time multiperiod financial market model. For the first time in the literature, we provide easily verifiable and interpretable conditions for well‐posedness. Under two different sets of assumptions, we also es...

Full description

Saved in:
Bibliographic Details
Published in:Mathematical finance 2015-01, Vol.25 (1), p.115-153
Main Authors: Carassus, Laurence, Rásonyi, Miklós
Format: Article
Language:English
Subjects:
"S-shaped" utility function
Capital market
Choquet integral
existence and well-posedness in behavioral finance
Finance
Imperfect information
Investment
Investments
Investors
Market theory
Mathematical models
Mathematics
Optimism
optimization
probability distortion
Studies
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We study the optimal investment problem for a behavioral investor in an incomplete discrete‐time multiperiod financial market model. For the first time in the literature, we provide easily verifiable and interpretable conditions for well‐posedness. Under two different sets of assumptions, we also establish the existence of optimal strategies.
ISSN:0960-1627
1467-9965
DOI:10.1111/mafi.12018