Optimal investment under behavioural criteria - a dual approach
Miklós Rásonyi, José G. Rodríguez-Villarreal (2015)
Banach Center Publications
Similarity:
We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in Carassus-Rásonyi (2015) under certain conditions on the parameters of these power functions. In the present paper we prove the existence of optimal strategies under a different set of conditions on the parameters, identical to the ones in Rásonyi-Rodrigues...