ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL

Miklós Rásonyi ()
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Miklós Rásonyi: Alfréd Rényi Institute of Mathematics, Hungarian Academy of Sciences, Budapest, Hungary

International Journal of Theoretical and Applied Finance (IJTAF), 2016, vol. 19, issue 07, 1-12

Abstract: We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal strategies. Previous results required a certain restrictive hypothesis on the tails of asset return distributions. Using a different method, we manage to remove this hypothesis, at the price of stronger assumptions on the moments of asset returns.

Keywords: Utility maximization; large financial markets; optimal strategies; risk-neutral measures (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1142/S0219024916500473

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