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

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

2011-07-08

arxiv.org/abs/1107.1617v2

Economy

Quantitative Finance

Portfolio Management

Scientific paper

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
suitable assumptions we also establish the existence of optimal strategies.

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