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Date
25 avril 2019
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- 1904.11252
- Journal of Optimization Theory and Applications 186 2020 248 263
- doi: 10.1007/s10957-020-01699-6
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Price policy, Industrial Retail pricing Price policy Infinity Funds Funding Economic theory Political economy Expenses Costs (Economics) Finance, commerce, confiscations, etcCiter ce document
Laurence Carassus et al., « Risk-neutral pricing for APT », arXiv - économie, ID : 10.1007/s10957-020-01699-6
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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 super-replication 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.