Risk-neutral pricing for arbitrage pricing theory
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Publication:779871
DOI10.1007/S10957-020-01699-6zbMATH Open1454.91214arXiv1904.11252OpenAlexW2941363628MaRDI QIDQ779871FDOQ779871
Laurence Carassus, Miklós Rásonyi
Publication date: 14 July 2020
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
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 super-replication 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.
Full work available at URL: https://arxiv.org/abs/1904.11252
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expected utilitysuperreplicationinfinite-dimensional optimizationarbitrage pricing theorylarge marketsreservation price
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Cited In (6)
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