We treat an infinite dimensional optimization problem arising in economic theory. 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 .
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 .
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arising in economic theory. Under appropriate conditions, we show the existence of an optimal strategy for an investor trading in the classical
motivated by mathematical economics. Within the celebrated "
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of S. A. Ross. As a consequence, we derive
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equivalent risk-neutral measures of a particular form which have favourable integrability properties
optimal strategies for investors who maximize their expected utility