pith. sign in

arxiv: 1107.1617 · v3 · pith:TGIT2SDFnew · submitted 2011-07-08 · 💱 q-fin.PM · math.OC· math.PR

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

classification 💱 q-fin.PM math.OCmath.PR
keywords optimalincompleteinvestmentinvestormarketmultiperiodassumptionsbehavioral
0
0 comments X
read the original abstract

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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.