ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL

DOI10.1142/S0219024916500473zbMath1396.91700arXiv1602.05758OpenAlexW2963525260MaRDI QIDQ2836218

Miklós Rásonyi

Publication date: 8 December 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05758

zbMATH Keywords

utility maximizationoptimal strategieslarge financial marketsrisk-neutral measures

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Maximizing expected utility in the arbitrage pricing model, 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

Cites Work

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• Stochastic finance. An introduction in discrete time