On optimal strategies for utility maximizers in the arbitrage pricing model

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.

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