Maximizing expected utility in the Arbitrage Pricing Model-Reference-Cited by-同舟云学术

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Maximizing expected utility in the Arbitrage Pricing Model

Published:2017-10 Issue:1 Volume:454 Page:127-143
ISSN:0022-247X
Container-title:Journal of Mathematical Analysis and Applications
language:en
Short-container-title:Journal of Mathematical Analysis and Applications

Author:

Rásonyi Miklós

Funder

Magyar Tudományos Akadémia

Publisher

Elsevier BV

Subject

Applied Mathematics,Analysis

Reference40 articles.

1. Infinitely many securities and the fundamental theorem of asset pricing;Balbás;Mediterr. J. Math.,2007

2. Asymptotic pricing in large financial markets;Baran;Math. Methods Oper. Res.,2007

3. Arbitrage Theory in Continuous Time;Björk,2004

4. Mean-variance hedging in large financial markets;Campi;Stoch. Anal. Appl.,2009

5. Probability Theory: Independence, Interchangeability, Martingales;Chow,1978

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On utility maximization under model uncertainty in discrete‐time markets;Mathematical Finance;2020-07-23

2. Arbitrage Pricing Model Based on Factor Analysis-Random Forest Regression and its application;International Journal of Mathematical Models and Methods in Applied Sciences;2020-07-20

3. Risk-Neutral Pricing for Arbitrage Pricing Theory;Journal of Optimization Theory and Applications;2020-06-23

4. Large Financial Markets, Discounting, and No Asymptotic Arbitrage;Theory of Probability & Its Applications;2020-01

5. On utility maximization without passing by the dual problem;Stochastics;2018-04-02

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