Geodesic
Behavioral investors in conic market models
Teoriâ veroâtnostej i ee primeneniâ, Tome 65 (2020) no. 2, pp. 420-430

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We treat a fairly broad class of financial models that includes markets with proportional transaction costs. We consider an investor with cumulative prospect theory preferences and a nonnegativity constraint on portfolio wealth. The existence of an optimal strategy is shown in this context for a class of generalized strategies.
Keywords: conic market model, optimal strategy, weak convergence. 
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     author = {H. N. Chau and M. R\'asonyi},
     title = {Behavioral investors in conic market models},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
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     publisher = {mathdoc},
     volume = {65},
     number = {2},
     year = {2020},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2020_65_2_a7/}
}
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H. N. Chau; M. Rásonyi. Behavioral investors in conic market models. Teoriâ veroâtnostej i ee primeneniâ, Tome 65 (2020) no. 2, pp. 420-430. http://geodesic.mathdoc.fr/item/TVP_2020_65_2_a7/