Maximizing expected utility in the Arbitrage Pricing Model
Mathematical Finance
2017-03-10 v3 Optimization and Control
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.
Keywords
Cite
@article{arxiv.1508.07761,
title = {Maximizing expected utility in the Arbitrage Pricing Model},
author = {Miklos Rasonyi},
journal= {arXiv preprint arXiv:1508.07761},
year = {2017}
}
Comments
Several corrections, Section 5 added