Time
4 p.m.
Location
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin
Miklos Rasonyi (Pazmany Peter Catholic University, Budapest)

Optimal investment in markets with friction

We will treat optimal investment in a continuous-time market with instantaneous price impact. The novelty lies in going beyond concave utility functions and allowing non-concave preferences as well as probability distortions in the agent's objective function. This allows to treat e.g. cumulative prospect theory preferences. The main technical tool is an extension of Skorohod's representation theorem for weakly convergent sequences of probabilities.