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

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.
Year of publication:
2011-07
Authors: Carassus, Laurence ; Rasonyi, Miklos
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Source:
Persistent link: https://www.econbiz.de/10009151237
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