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

Laurence Carassus; Miklos Rasonyi

doi:10.1111/mafi.12018

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

Laurence Carassus, Miklos Rasonyi

School of Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract / Description of output

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.

Original language	English
Journal	Mathematical Finance
Early online date	7 Feb 2013
DOIs	https://doi.org/10.1111/mafi.12018
Publication status	Published - 2013

Keywords / Materials (for Non-textual outputs)

optimization
existence and well-posedness in behavioral finance
“S-shaped” utility function
probability distortion
Choquet integral

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10.1111/mafi.12018

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@article{43f8310caed448a0bf9abfa4b9f48cf9,

title = "ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS",

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.",

keywords = "optimization , existence and well-posedness in behavioral finance, “S-shaped” utility function, probability distortion, Choquet integral",

author = "Laurence Carassus and Miklos Rasonyi",

year = "2013",

doi = "10.1111/mafi.12018",

language = "English",

journal = "Mathematical Finance",

issn = "1467-9965",

publisher = "Wiley-Blackwell",

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T1 - ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS

AU - Carassus, Laurence

AU - Rasonyi, Miklos

PY - 2013

Y1 - 2013

N2 - 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.

AB - 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.

KW - optimization

KW - existence and well-posedness in behavioral finance

KW - “S-shaped” utility function

KW - probability distortion

KW - Choquet integral

U2 - 10.1111/mafi.12018

DO - 10.1111/mafi.12018

M3 - Article

SN - 1467-9965

JO - Mathematical Finance

JF - Mathematical Finance

ER -

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

Abstract / Description of output

Keywords / Materials (for Non-textual outputs)

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