Risk-neutral pricing for arbitrage pricing theory

DOI10.1007/S10957-020-01699-6MaRDI QIDQ779871zbMATHOpenAlexFDO

Authors Laurence Carassus, Miklós Rásonyi

Publication date 14 July 2020

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.11252

zbMATH Keywords

expected utilitysuperreplicationinfinite-dimensional optimizationarbitrage pricing theorylarge marketsreservation price

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

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.

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Cited in

(8)

• Fixing risk neutral risk measures
• Risk-neutral valuation: Pricing and hedging of financial derivatives
• Convex Optimization Over Risk-Neutral Probabilities
• scientific article; zbMATH DE number 5997411 (Why is no real title available?)
• Discounting axioms imply risk neutrality
• On ``A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
• A General Approach to the Arbitrage Pricing Theory (APT)
• From small markets to big markets

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