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Teoriya Veroyatnostei i ee Primeneniya, 2020, Volume 65, Issue 2, Pages 420–430
DOI: https://doi.org/10.4213/tvp5357 (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
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DOI: https://doi.org/10.4213/tvp5357
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.
Funding agency Grant number
Hungarian Academy of Sciences LP 2015-6/2015
Hungarian National Research, Development and Innovation Office KH 126505
Received: 07.10.2018
Accepted: 20.01.2020
English version:
Theory of Probability and its Applications, 2020, Volume 65, Issue 2, Pages 330–337
DOI: https://doi.org/10.1137/S0040585X97T989970
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: H. N. Chau, M. Rásonyi, “Behavioral investors in conic market models”, Teor. Veroyatnost. i Primenen., 65:2 (2020), 420–430; Theory Probab. Appl., 65:2 (2020), 330–337
Citation in format AMSBIB
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\paper Behavioral investors in conic market models
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\issue 2
\pages 420--430
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\pages 330--337
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