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Risk-neutral pricing for Arbitrage Pricing Theory

Carassus, Laurence and Rásonyi, Miklós (2020) Risk-neutral pricing for Arbitrage Pricing Theory. Journal of Optimization Theory and Applications, 186 (1). pp. 248-263. ISSN 0022-3239

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Abstract

We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the existence of optimal strategies for investors maximizing their expected utility and the convergence of their reservation prices to the super-replication cost as their risk-aversion tends to infinity.

Item Type: Article
Uncontrolled Keywords: Expected utility; large markets; superreplication; Infinite-dimensional optimization; Arbitrage Pricing Theory; Reservation price;
Subjects: Q Science / természettudomány > QA Mathematics / matematika
SWORD Depositor: MTMT SWORD
Depositing User: MTMT SWORD
Date Deposited: 29 Aug 2020 07:41
Last Modified: 29 Aug 2020 07:41
URI: http://real.mtak.hu/id/eprint/112602

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