Risk-Neutral Pricing for Arbitrage Pricing Theory

Laurence Carassus () and Miklós Rásonyi ()
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Laurence Carassus: Léonard de Vinci Pôle Universitaire, Research Center
Miklós Rásonyi: Alfréd Rényi Institute of Mathematics

Journal of Optimization Theory and Applications, 2020, vol. 186, issue 1, No 13, 248-263

Abstract: 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 superreplication 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.

Keywords: Infinite-dimensional optimization; Arbitrage Pricing Theory; Superreplication; Expected utility; Reservation price; Large markets; 91G10; 93E20; 91B16 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10957-020-01699-6

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