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arXiv · 1904.11252

Risk-neutral pricing for APT

Laurence Carassus·Miklos Rasonyi
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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 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.

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Laurence Carassus, Miklos Rasonyi. 2020-10-02. Risk-neutral pricing for APT. https://doi.org/10.1007/s10957-020-01699-6

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