Maximizing expected utility in the arbitrage pricing model

DOI10.1016/j.jmaa.2017.04.070zbMath1364.91162arXiv1508.07761OpenAlexW2963239645MaRDI QIDQ2627954

Miklós Rásonyi

Publication date: 9 June 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.07761

zbMATH Keywords

utility maximizationarbitrageoptimal strategieslarge financial marketsrisk-neutral measuresinfinite dimensional convex optimization

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items

On utility maximization without passing by the dual problem, On utility maximization under model uncertainty in discrete‐time markets, Large Financial Markets, Discounting, and No Asymptotic Arbitrage, From small markets to big markets, Risk-neutral pricing for arbitrage pricing theory

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