arXiv subjects

Miklos Rasonyi

Publications and source records attributed to Miklos Rasonyi.

22 records · Page 2Linked to original sources

arXiv2013

Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets

The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time financial market framework and assuming that asset prices are modelled by semimartingales, we derive sufficient and necessary conditions for the well-posedness of the optimisation problem in the case of piecewise-power probability distortion and utility functions. Finally, under straightforwardly verifiable conditions, we further demonstrate the existence of an optimal strategy.

q-fin.PM↗

arXiv2012

On optimal investment for a behavioural investor in multiperiod incomplete market models

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, for the first time in the literature. Under two different sets of assumptions we also establish the existence of optimal strategies.

q-fin.PM↗

arXiv2009

Risk-averse asymptotics for reservation prices

An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.

math.PR↗

arXiv2005

On utility maximization in discrete-time financial market models

We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are constructed using optimal strategies.

math.PR↗