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Media type:
E-Article
Title:
ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
Contributor:
Carassus, Laurence;
Rásonyi, Miklós
imprint:
Wiley, 2015
Published in:Mathematical Finance
Language:
English
DOI:
10.1111/mafi.12018
ISSN:
0960-1627;
1467-9965
Origination:
Footnote:
Description:
<jats:p>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.</jats:p>