Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains

@inproceedings{Rsonyi2013ContinuousTimePO,
  title={Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains},
  author={Mikl{\'o}s R{\'a}sonyi and Andrea Sofia Meireles Rodrigues},
  year={2013}
}
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose utility function on gains is bounded above. The well-posedness of the optimisation problem is trivial, and a necessary condition for the existence of an optimal trading strategy is derived. This condition requires that the investor's probability distortion… CONTINUE READING

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