On optimal investment for a behavioural investor in multiperiod incomplete market models
classification
💱 q-fin.PM
math.OCmath.PR
keywords
optimalincompleteinvestmentinvestormarketmultiperiodassumptionsbehavioral
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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.
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