Behavioral Investors in Conic Market Models

DOI10.1137/S0040585X97T989970zbMath1448.91280arXiv1903.08156OpenAlexW3046986792MaRDI QIDQ5120715

Huy N. Chau, Miklós Rásonyi

Publication date: 16 September 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.08156

zbMATH Keywords

weak convergenceoptimal strategyproportional transaction costsBanach-Alaoglou theorembehavioral investorconic market model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Compactness in Banach (or normed) spaces (46B50) Portfolio theory (91G10) Financial markets (91G15)

Cites Work

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• Markets with transaction costs. Mathematical theory.
• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory: An Analysis of Decision under Risk
• Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions
• ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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