This supplementary file provides details in the proof of Theorem 3 in Section 3, an example of the stochastic process satisfying Assumptions 3 and 4, and proofs for the propositions and the lemma in Sections 3 and 6

This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...