Rásonyi, Miklós (2017) Maximizing expected utility in the Arbitrage Pricing Model. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 454 (1). pp. 127-143. ISSN 0022-247X
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Official URL: https://doi.org/10.1016/j.jmaa.2017.04.070
Abstract
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. © 2017 Elsevier Inc.
| Item Type: | Article |
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| Additional Information: | N1 Funding details: LP2015-6, MTA, Magyar Tudományos Akadémia N1 Funding text: Support from the “Lendület” Grant LP2015-6 of the Hungarian Academy of Sciences is gratefully acknowledged. The idea of this paper was conceived during a research visit in 2015 at Dublin City University; I thank Paolo Guasoni for his invitation. I am also grateful to Josef Teichmann for his kind invitation to ETH, Zürich in 2014: it was discussions with him that renewed my interest in the models treated here. Finally, I sincerely thank the anonymous referees for their very helpful comments. |
| Uncontrolled Keywords: | utility maximization; risk-neutral measures; Optimal strategies; Large financial markets; Infinite dimensional convex optimization; arbitrage |
| Subjects: | Q Science / természettudomány > QA Mathematics / matematika Q Science / természettudomány > QA Mathematics / matematika > QA74 Analysis / analízis |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 01 Aug 2017 13:46 |
| Last Modified: | 01 Aug 2017 13:46 |
| URI: | http://real.mtak.hu/id/eprint/57785 |
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