Maximizing expected utility in the Arbitrage Pricing Model
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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.
New Economics Papers: this item is included in nep-upt
Date: 2015-08, Revised 2017-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1508.07761
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