Risk-Neutral Pricing for Arbitrage Pricing Theory

Laurence Carassus () and Miklós Rásonyi
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Laurence Carassus: PULV - Pôle Universitaire Léonard de Vinci, LMR - Laboratoire de Mathématiques de Reims - URCA - Université de Reims Champagne-Ardenne - CNRS - Centre National de la Recherche Scientifique
Miklós Rásonyi: Alfréd Rényi Institute of Mathematics - MTA - Hungarian Academy of Sciences

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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 (search for similar items in EconPapers)
Date: 2020-06-23
Note: View the original document on HAL open archive server: https://hal.science/hal-04842839v1
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Citations: View citations in EconPapers (1)

Published in Journal of Optimization Theory and Applications, 2020, 186 (1), pp.248-263. ⟨10.1007/s10957-020-01699-6⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04842839

DOI: 10.1007/s10957-020-01699-6

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