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. 
Laurence Carassus and Miklos Rasonyi
q-fin.PM math.OC math.PR