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Miklós Rásonyi – One of the best experts on this subject based on the ideXlab platform.

  • Risk-Neutral Pricing for Arbitrage Pricing Theory
    Journal of Optimization Theory and Applications, 2020
    Co-Authors: Laurence Carassus, Miklós Rásonyi

    Abstract:

    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 superreplication 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.

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  • Maximizing expected utility in the Arbitrage Pricing Model
    Journal of Mathematical Analysis and Applications, 2017
    Co-Authors: Miklós Rásonyi

    Abstract:

    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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  • On utility maximization in the Arbitrage Pricing Model
    arXiv: Mathematical Finance, 2016
    Co-Authors: Miklós Rásonyi

    Abstract:

    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.

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H Ahmadi – One of the best experts on this subject based on the ideXlab platform.

  • testability of the Arbitrage Pricing theory by neural network
    International Joint Conference on Neural Network, 1990
    Co-Authors: H Ahmadi

    Abstract:

    The Arbitrage Pricing theory (APT) offers an alternative to the traditional asset Pricing model in finance. In almost all of the literature, a statistical methodology called factor analysis is used to test or estimate the APT model. The major shortcoming of this procedure is that it identifies neither the number nor the definition of the factors that influence the assets. A unique solution to this problem is offered. It uses a simple back-propagation neural network with a generalized delta rule to learn the interaction of the market factors and securities return. This technique can be used to investigate the effect of several variables on one another simultaneously without being plagued with uncertainty of probability distributions of each variable

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Alexander S. Cherny – One of the best experts on this subject based on the ideXlab platform.

  • general Arbitrage Pricing model ii transaction costs
    , 2007
    Co-Authors: Alexander S. Cherny

    Abstract:

    In particular, it is proved that a dynamic model with an infinite number of assets satisfies the No Generalized Arbitrage condition (this notion was introduced in [2]) if and only if there exist an equivalent measure and a martingale with respect to this measure that lies (componentwise) between the discounted ask and bid price processes. Furthermore, the set of fair prices of a contingent claim coincides with the set of expectations of the payoff with respect to these measures. Our approach to Arbitrage Pricing in models with transaction costs differs from the existing ones.

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  • General Arbitrage Pricing Model: II – Transaction Costs
    Lecture Notes in Mathematics, 1
    Co-Authors: Alexander S. Cherny

    Abstract:

    In particular, it is proved that a dynamic model with an infinite number of assets satisfies the No Generalized Arbitrage condition (this notion was introduced in [2]) if and only if there exist an equivalent measure and a martingale with respect to this measure that lies (componentwise) between the discounted ask and bid price processes. Furthermore, the set of fair prices of a contingent claim coincides with the set of expectations of the payoff with respect to these measures. Our approach to Arbitrage Pricing in models with transaction costs differs from the existing ones.

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