Risk-neutral pricing for APT
General Economics
2020-10-05 v2 Economics
Mathematical Finance
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.
Keywords
Cite
@article{arxiv.1904.11252,
title = {Risk-neutral pricing for APT},
author = {Laurence Carassus and Miklos Rasonyi},
journal= {arXiv preprint arXiv:1904.11252},
year = {2020}
}