| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5774753 | Journal of Mathematical Analysis and Applications | 2017 | 21 Pages |
Abstract
We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated “Arbitrage Pricing Model”, we use probabilistic and functional analytic techniques to show the existence of optimal strategies for investors who maximize their expected utility.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Miklós Rásonyi,