Maximizing expected utility in the Arbitrage Pricing Model

Miklos Rasonyi

Papers from arXiv.org

Abstract: We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal strategies for investors who maximize their expected utility.

Date: 2015-08, Revised 2017-03
New Economics Papers: this item is included in nep-upt
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