Maximizing expected utility in the Arbitrage Pricing Model

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:454

Article

Rasonyi, Miklos¹ 

[1] Hungarian Acad Sci, Alfred Rdnyi Inst Math, Budapest, Hungary

关键词: Utility maximization;    Large financial markets;    Arbitrage;    Optimal strategies;    Risk-neutral measures;    Infinite dimensional convex optimization;   

DOI  :  10.1016/j.jmaa.2017.04.070

来源: Elsevier

【 摘 要 】

We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated Arbitrage Pricing Model, we use probabilistic and functional analytic techniques to show the existence of optimal strategies for investors who maximize their expected utility. (C) 2017 Elsevier Inc. All rights reserved.

【 授权许可】

Free