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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Official URL: https://doi.org/10.1007/s10957-020-01699-6
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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