Rásonyi, Miklós (2016) On optimal strategies for utility maximizers in the arbitrage pricing model. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 19 (7). pp. 1-12. ISSN 0219-0249
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Abstract
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal strategies. Previous results required a certain restrictive hypothesis on the tails of asset return distributions. Using a different method, we manage to remove this hypothesis, at the price of stronger assumptions on the moments of asset returns. © 2016 World Scientific Publishing Company.
Item Type: | Article |
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Uncontrolled Keywords: | utility maximization; risk-neutral measures; Optimal strategies; Large financial markets |
Subjects: | H Social Sciences / társadalomtudományok > HG Finance / pénzügy |
SWORD Depositor: | MTMT SWORD |
Depositing User: | MTMT SWORD |
Date Deposited: | 04 Jan 2017 08:09 |
Last Modified: | 11 Jan 2017 01:18 |
URI: | http://real.mtak.hu/id/eprint/44294 |
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