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On optimal investment for a behavioural investor in multiperiod incomplete market models
Optimisation existence and well-posedness in behavioral finance distorsion Choquet integral
2011/9/30
Abstract: 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, ...
Aggregation in Incomplete Market with General Utility Functions
Aggregation constrained Pareto optimal incomplete market
2011/4/2
This paper tackles the "aggregation problem" for stochastic economies with possibly incomplete market. An "aggregation theorem" is proved towards an analytic construction of the representative agent’s...
An optimal life insurance policy in the investment-consumption problem in an incomplete market
life insurance policy the investment-consumption problem incomplete market
2010/12/13
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of ear...