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On the existence of personal equilibria

Published: December 9, 2025 | arXiv ID: 2512.08348v1

By: Laurence Carassus, Miklós Rásonyi

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.

Category
Quantitative Finance:
Portfolio Management