Before revision:  Under appropriate conditions, we show the existence of an optimal strategy for an investor trading in the classical Arbitrage Pricing Model of S. A. Ross. As a consequence, we derive the existence of equivalent risk-neutral measures of a particular form which have favourable integrability properties .
After revision:  Under appropriate conditions, we show the existence of an optimal strategy for an investor trading in the classical Arbitrage Pricing Model ", we use probabilistic and functional analytic techniques to show the existence of equivalent risk-neutral measures of a particular form which have favourable integrability properties .