ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL

DOI10.1142/S0219024916500473zbMath1396.91700arXiv1602.05758OpenAlexW2963525260MaRDI QIDQ2836218

Miklós Rásonyi

Publication date: 8 December 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05758

zbMATH Keywords

utility maximizationoptimal strategieslarge financial marketsrisk-neutral measures

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (6)

Maximizing expected utility in the arbitrage pricing model ⋮ On utility maximization without passing by the dual problem ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ Large Financial Markets, Discounting, and No Asymptotic Arbitrage ⋮ From small markets to big markets ⋮ Risk-neutral pricing for arbitrage pricing theory

Cites Work

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• Super-replication and utility maximization in large financial markets
• A generalization of a problem of Steinhaus
• Stochastic finance. An introduction in discrete time

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