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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Carassus-Rásonyi2020_Article_Risk-NeutralPricingForArbitrag.pdf (317.2 Ko)
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