# Behavioural investors in conic market models

## TL;DR

This paper investigates how behavioral investors with prospect theory preferences operate within conic market models, including those with transaction costs, and establishes the existence of optimal strategies under these conditions.

## Contribution

It introduces a framework for analyzing behavioral investors in conic market models with transaction costs, proving the existence of optimal strategies in this setting.

## Key findings

- Existence of optimal strategies for behavioral investors in conic market models.
- Extension of market models to include prospect theory preferences.
- Inclusion of transaction costs in the analysis of investor behavior.

## Abstract

We treat a fairly broad class of financial models which includes markets with proportional transaction costs. We consider an investor with cumulative prospect theory preferences and a non-negativity constraint on portfolio wealth. The existence of an optimal strategy is shown in this context in a class of generalized strategies.