Risk-Neutral Pricing for Arbitrage Pricing Theory - Archive ouverte HAL
Article Dans Une Revue Journal of Optimization Theory and Applications Année : 2020

Risk-Neutral Pricing for Arbitrage Pricing Theory

Résumé

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 superreplication 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.
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Dates et versions

hal-04842839 , version 1 (17-12-2024)

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Laurence Carassus, Miklós Rásonyi. Risk-Neutral Pricing for Arbitrage Pricing Theory. Journal of Optimization Theory and Applications, 2020, 186 (1), pp.248-263. ⟨10.1007/s10957-020-01699-6⟩. ⟨hal-04842839⟩
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