We consider the problem of super-replication (hedging without risk) for the Arbitrage Pricing Theory. The dual characterization of  super-replication cost is provided. It is shown that the reservation prices of investors converge to this cost as their respective risk-aversion tends to infinity.
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.
R
the problem of super-replication (hedging without risk) for the
infinite dimensional optimization problems motivated by the financial model called
R
The
Using probabilistic and functional analytic tools, we provide a
A
the
R
is provided. It is shown that the reservation prices of investors converge to this
. 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
D
respective