On optimal investment for a behavioral investor in multiperiod incomplete market models
نویسندگان
چکیده
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. Keyword : Optimisation, existence and well-posedness in behavioral finance, “S-shaped” utility function, distorsion, Choquet integral.
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