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

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  • Laurence Carassus
  • Miklos Rasonyi

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.

Suggested Citation

  • Laurence Carassus & Miklos Rasonyi, 2011. "On optimal investment for a behavioural investor in multiperiod incomplete market models," Papers 1107.1617, arXiv.org, revised Oct 2012.
    • Handle: RePEc:arx:papers:1107.1617
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    References listed on IDEAS

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    1. Arjan B. Berkelaar & Roy Kouwenberg & Thierry Post, 2004. "Optimal Portfolio Choice under Loss Aversion," The Review of Economics and Statistics, MIT Press, vol. 86(4), pages 973-987, November.
    2. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
    3. Bernard, Carole & Ghossoub, Mario, 2009. "Static Portfolio Choice under Cumulative Prospect Theory," MPRA Paper 15446, University Library of Munich, Germany.
    4. repec:dau:papers:123456789/2317 is not listed on IDEAS
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    Cited by:

    1. Roman Muraviev & L. Rogers, 2013. "Utilities bounded below," Annals of Finance, Springer, vol. 9(2), pages 271-289, May.

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