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Risk-neutral pricing for APT (1904.11252v2)
Published 25 Apr 2019 in econ.GN, q-fin.EC, and q-fin.MF
Abstract: 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.
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