Maximizing expected utility in the arbitrage pricing model
From MaRDI portal
Publication:2627954
DOI10.1016/j.jmaa.2017.04.070zbMath1364.91162arXiv1508.07761OpenAlexW2963239645MaRDI QIDQ2627954
Publication date: 9 June 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.07761
utility maximizationarbitrageoptimal strategieslarge financial marketsrisk-neutral measuresinfinite dimensional convex optimization
Convex programming (90C25) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
Related Items
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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal portfolio choice for a behavioural investor in continuous-time markets
- On utility maximization in discrete-time financial market models
- Asymptotic arbitrage and numéraire portfolios in large financial markets
- Market free lunch and large financial markets
- Asymptotic arbitrage in large financial markets
- Free lunch large financial markets with continuous price processes
- Arbitrage pricing theory and risk-neutral measures
- Optimal investment in incomplete markets when wealth may become negative.
- Equivalent martingale measures for large financial markets in discrete time
- Asymptotic arbitrage in large financial markets with friction
- Infinitely many securities and the fundamental theorem of asset pricing
- Asymptotic pricing in large financial markets
- A note on lower bounds of martingale measure densities
- A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance
- Super-replication and utility maximization in large financial markets
- A Fundamental Theorem of Asset Pricing for Large Financial Markets
- ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL
- Lower Bounds of Martingale Measure Densities in the Dalang–Morton–Willinger Theorem
- A New Perspective on the Fundamental Theorem of Asset Pricing for Large Financial Markets
- Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach
- Mean-Variance Hedging in Large Financial Markets
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- A note on completeness in large financial markets
- A generalization of a problem of Steinhaus
- Arbitrage Theory in Continuous Time
- Stochastic finance. An introduction in discrete time
