Risk-neutral pricing for APT

Laurence Carassus and Miklos Rasonyi

Papers from arXiv.org

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.

Date: 2019-04, Revised 2020-10
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Published in Journal of Optimization Theory and Applications 186 2020 248 263

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1904.11252

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