Articlebronze2013

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

46 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

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.

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1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 2019Theory of games and economic behavior 1992Advances in prospect theory: Cumulative representation of uncertainty 1951Non-Cooperative Games 2005Stochastic Integration and Differential Equations 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine 1928Zur Theorie der Gesellschaftsspiele

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