Risk-neutral pricing for APT

• Tác giả: Laurence Carassus, Miklos Rasonyi
• Ngôn ngữ: eng
• Ký hiệu phân loại: 153.94 Aptitude tests
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 162834

Tóm tắt

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.