Maximizing expected utility in the Arbitrage Pricing Model

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.

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Bibliographic Details
Published in:Journal of mathematical analysis and applications 2017-10, Vol.454 (1), p.127-143
Main Author: Rásonyi, Miklós
Format: Article
Language:English
Subjects:
Arbitrage
Infinite dimensional convex optimization
Large financial markets
Optimal strategies
Risk-neutral measures
Utility maximization
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Description
Summary: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.
ISSN:0022-247X
1096-0813
DOI:10.1016/j.jmaa.2017.04.070