We consider a classical market model of mathematical economics with infinitely many assets: the Arbitrage Pricing Model. We study  optimal investment under an expected utility criterion and prove the existence of optimal strategies. Previous results require a certain restrictive hypothesis on the non-triviality of the tails of asset return distributions. Using a different method, we manage to remove this hypothesis in the present article , at the price of stronger assumptions on the moments of asset returns . We thus complement earlier results .
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal strategies. Previous results required a certain restrictive hypothesis on the tails of asset return distributions. Using a different method, we manage to remove this hypothesis , at the price of stronger assumptions on the moments of asset returns .
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classical market model of mathematical economics with infinitely
popular model of microeconomics with countably
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the problem of
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prove
look for conditions ensuring
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require
required
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non-triviality of the
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in the present article
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. We thus complement earlier results