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BEHAVIORAL INVESTORS IN CONIC MARKET MODELS.

Authors :
CHAU, H. N.
RÁSONYI, M.
Source :
Theory of Probability & Its Applications. 2020, Vol. 65 Issue 2, p330-337. 8p.
Publication Year :
2020

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. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*PROSPECT theory
*INVESTORS
*TRANSACTION costs

Details

Language :
English
ISSN :
0040585X
Volume :
65
Issue :
2
Database :
Academic Search Index
Journal :
Theory of Probability & Its Applications
Publication Type :
Academic Journal
Accession number :
148412280
Full Text :
https://doi.org/10.1137/S0040585X97T989970
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