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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2020 Volume 65, Issue 2, Pages 420–430 (Mi tvp5357)

Behavioral investors in conic market models

H. N. Chaua, M. Rásonyib

a Center for Mathematical Modeling and Data Science, Osaka University, Japan
b Computer and Automation Institute of the Hungarian Academy of Sciences, Budapest, Hungary

Abstract: We treat a fairly broad class of financial models that includes markets with proportional transaction costs. We consider an investor with cumulative prospect theory preferences and a nonnegativity constraint on portfolio wealth. The existence of an optimal strategy is shown in this context for a class of generalized strategies.

Keywords: conic market model, optimal strategy, weak convergence.

Received: 07.10.2018
Accepted: 20.01.2020

DOI: 10.4213/tvp5357


 English version:
Theory of Probability and its Applications, 2020, 65:2, 330–337

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© Steklov Math. Inst. of RAS, 2024