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Maximizing expected utility in the Arbitrage Pricing Model

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  • Miklos Rasonyi

Abstract

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.

Suggested Citation

  • Miklos Rasonyi, 2015. "Maximizing expected utility in the Arbitrage Pricing Model," Papers 1508.07761, arXiv.org, revised Mar 2017.
    • Handle: RePEc:arx:papers:1508.07761
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    References listed on IDEAS

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    1. Irene Klein, 2000. "A Fundamental Theorem of Asset Pricing for Large Financial Markets," Mathematical Finance, Wiley Blackwell, vol. 10(4), pages 443-458, October.
    2. repec:dau:papers:123456789/12663 is not listed on IDEAS
    3. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    4. Marzia De Donno, 2004. "A note on completeness in large financial markets," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 295-315, April.
    5. Y.M. Kabanov & D.O. Kramkov, 1998. "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, vol. 2(2), pages 143-172.
    6. Michał Baran, 2007. "Asymptotic pricing in large financial markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(1), pages 1-20, August.
    7. Gur Huberman, 2005. "A Simple Approach to Arbitrage Pricing Theory," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 9, pages 289-308, World Scientific Publishing Co. Pte. Ltd..
    8. Yuri M. Kabanov & Christophe Stricker, 2002. "On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 125-134, April.
    9. Miklos Rasonyi & Lukasz Stettner, 2005. "On utility maximization in discrete-time financial market models," Papers math/0505243, arXiv.org.
    10. Christa Cuchiero & Irene Klein & Josef Teichmann, 2014. "A new perspective on the fundamental theorem of asset pricing for large financial markets," Papers 1412.7562, arXiv.org, revised Oct 2023.
    11. Balbás, Alejandro & Downarowicz, Anna, 2004. "Infinitely many securities and the fundamental theorem of asset pricing," DEE - Working Papers. Business Economics. WB wb043513, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    12. Dmitry Rokhlin, 2008. "Asymptotic arbitrage and numéraire portfolios in large financial markets," Finance and Stochastics, Springer, vol. 12(2), pages 173-194, April.
    13. De Donno, M. & Guasoni, P. & Pratelli, M., 2005. "Super-replication and utility maximization in large financial markets," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 2006-2022, December.
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