On the existence of personal equilibria
Portfolio Management
2025-12-10 v1 Probability
Abstract
We consider an investor who, while maximizing his/her expected utility, also compares the outcome to a reference entity. We recall the notion of personal equilibrium and show that, in a multistep, generically incomplete financial market model such an equilibrium indeed exists, under appropriate technical assumptions.
Keywords
Cite
@article{arxiv.2512.08348,
title = {On the existence of personal equilibria},
author = {Laurence Carassus and Miklós Rásonyi},
journal= {arXiv preprint arXiv:2512.08348},
year = {2025}
}