This study aims to demonstrate the optimal multiperiod dynamic asset allocation for a generalized situation and enable the investor to maximize his expected terminal wealth utility. Previous researches solved this problem constrained by the investor's utility function, the asset return...

The prospect theory proposed by (Kahneman and Tversky, 1979) stated that people are risk-averse when faced with profits and risk-loving when faced with loss. Benartzi and Thaler (1995) combined the Myopic Loss Aversion and Mental Accounting in explaining the equity premium puzzle. Gneezy and...