TY - JOUR
T1 - Optimal portfolio choice for a behavioural investor in continuous-time markets
AU - Rasonyi, Miklos
AU - Rodrigues, Andrea
PY - 2013/5
Y1 - 2013/5
N2 - The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time financial market framework and assuming that asset prices are modelled by semimartingales, we derive sufficient and necessary conditions for the well-posedness of the optimisation problem in the case of piecewise-power probability distortion and utility functions. Finally, under straightforwardly verifiable conditions, we further demonstrate the existence of an optimal strategy.
AB - The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time financial market framework and assuming that asset prices are modelled by semimartingales, we derive sufficient and necessary conditions for the well-posedness of the optimisation problem in the case of piecewise-power probability distortion and utility functions. Finally, under straightforwardly verifiable conditions, we further demonstrate the existence of an optimal strategy.
UR - http://www.scopus.com/inward/record.url?scp=84876899878&partnerID=8YFLogxK
U2 - 10.1007/s10436-012-0211-4
DO - 10.1007/s10436-012-0211-4
M3 - Article
SN - 1614-2446
VL - 9
SP - 291
EP - 318
JO - Annals of Finance
JF - Annals of Finance
IS - 2
ER -