| Tartalom: |
http://real.mtak.hu/57785/ |
| Archívum: |
MTA Könyvtár |
| Gyűjtemény: |
Status = Published
Type = Article
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| Cím: |
Maximizing expected utility in the Arbitrage Pricing Model
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| Létrehozó: |
Rásonyi, Miklós
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| Kiadó: |
Elsevier
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| Dátum: |
2017
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| Téma: |
QA Mathematics / matematika
QA74 Analysis / analĂzis
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| Tartalmi leírás: |
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. © 2017 Elsevier Inc.
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| Nyelv: |
angol
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| Típus: |
Article
PeerReviewed
info:eu-repo/semantics/article
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| Formátum: |
text
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| Azonosító: |
Rásonyi, Miklós (2017) Maximizing expected utility in the Arbitrage Pricing Model. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 454 (1). pp. 127-143. ISSN 0022-247X
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| Kapcsolat: |
https://doi.org/10.1016/j.jmaa.2017.04.070
MTMT:3252225; doi:10.1016/j.jmaa.2017.04.070
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