Author:
Carassus Laurence,Rásonyi Miklós
Abstract
AbstractWe 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.
Funder
NKFIH Hungary
Magyar Tudományos Akadémia
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Management Science and Operations Research,Control and Optimization
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