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ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
Author(s) -
Carassus Laurence,
Rásonyi Miklós
Publication year - 2015
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/mafi.12018
Subject(s) - economics , investment (military) , verifiable secret sharing , financial market , incomplete markets , econometrics , microeconomics , investment strategy , discrete time and continuous time , mathematical economics , financial economics , computer science , mathematics , finance , set (abstract data type) , statistics , politics , political science , law , profit (economics) , programming language
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.