Add to ORKGWe 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, for the first time in the literature. Under suitable assumptions we also establish the existence of optimal strategies
This dissertation evolves around the following thematics: uncertainty, utility functions and no-arbi...
textThis dissertation studies a class of path-dependent stochastic control problems with application...
This paper solves, in closed form, the optimal portfolio choice problem for an investor with utility...
In this thesis a mathematical description and analysis of the Cumulative Prospect Theory is present...
The existence of optimal strategies is established for a behavioral investor in certain incomplete ...
We consider a discrete-time financial market model with finite time horizon and investors with utili...
textIncomplete markets provide many challenges for both investment decisions and valuation problems...
textIncomplete markets provide many challenges for both investment decisions and valuation problems...
This paper analyses the portfolio problem of an investor who wants to maximize the expected power ut...
International audienceWe study an optimal consumption and investment problem in a possibly incomplet...
We establish the existence of minimizers in a rather general setting of dynamic stochastic optimizat...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
The optimal investment problem is studied for acontinuous time incomplete market model. It is assume...
We give a review of classical and recent results on maximization of expected utility for an investor...
textThis dissertation studies a class of path-dependent stochastic control problems with application...
This dissertation evolves around the following thematics: uncertainty, utility functions and no-arbi...
textThis dissertation studies a class of path-dependent stochastic control problems with application...
This paper solves, in closed form, the optimal portfolio choice problem for an investor with utility...
In this thesis a mathematical description and analysis of the Cumulative Prospect Theory is present...
The existence of optimal strategies is established for a behavioral investor in certain incomplete ...
We consider a discrete-time financial market model with finite time horizon and investors with utili...
textIncomplete markets provide many challenges for both investment decisions and valuation problems...
textIncomplete markets provide many challenges for both investment decisions and valuation problems...
This paper analyses the portfolio problem of an investor who wants to maximize the expected power ut...
International audienceWe study an optimal consumption and investment problem in a possibly incomplet...
We establish the existence of minimizers in a rather general setting of dynamic stochastic optimizat...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
The optimal investment problem is studied for acontinuous time incomplete market model. It is assume...
We give a review of classical and recent results on maximization of expected utility for an investor...
textThis dissertation studies a class of path-dependent stochastic control problems with application...
This dissertation evolves around the following thematics: uncertainty, utility functions and no-arbi...
textThis dissertation studies a class of path-dependent stochastic control problems with application...
This paper solves, in closed form, the optimal portfolio choice problem for an investor with utility...