The Experts below are selected from a list of 13047 Experts worldwide ranked by ideXlab platform
Miklós Rásonyi - One of the best experts on this subject based on the ideXlab platform.
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Risk-Neutral Pricing for Arbitrage Pricing Theory
Journal of Optimization Theory and Applications, 2020Co-Authors: Laurence Carassus, Miklós RásonyiAbstract: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, 2017Co-Authors: Miklós RásonyiAbstract: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, 2016Co-Authors: Miklós RásonyiAbstract: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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On optimal strategies for utility maximizers in the Arbitrage Pricing Model
arXiv: Mathematical Finance, 2016Co-Authors: Miklós RásonyiAbstract: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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Arbitrage Pricing theory and risk-neutral measures
Decisions in Economics and Finance, 2004Co-Authors: Miklós RásonyiAbstract:We consider a market with countably many risky assets and finite factor structure, as in the “Arbitrage Pricing theory” of Ross (1976). We prove necessary and sufficient conditions in terms of parameters for the existence of an equivalent risk-neutral measure, i.e., a measure under which each asset return has zero expected value. We relate these conditions to a certain absence of Arbitrage property of the model. Mathematics Subject Classification (2000): 91B24, 91B28 Journal of Economic Literature Classification: G10, G12
H Ahmadi - One of the best experts on this subject based on the ideXlab platform.
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testability of the Arbitrage Pricing theory by neural network
International Joint Conference on Neural Network, 1990Co-Authors: H AhmadiAbstract: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
Alexander S. Cherny - One of the best experts on this subject based on the ideXlab platform.
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general Arbitrage Pricing model ii transaction costs
2007Co-Authors: Alexander S. ChernyAbstract: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, 1Co-Authors: Alexander S. ChernyAbstract: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.
Peter E Rossi - One of the best experts on this subject based on the ideXlab platform.
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posterior predictive and utility based approaches to testing the Arbitrage Pricing theory
Journal of Financial Economics, 1990Co-Authors: Robert E Mcculloch, Peter E RossiAbstract:Abstract To provide a framework for judging the economic significance of departures from the Arbitrage Pricing theory, we adopt a utility-based metric based on optimal portfolio choices. This measure is examined using both predictive and posterior analysis. Our predictive analysis shows very large and economically significant departures from the model restrictions. However, the high level of parameter uncertainty suggests that we cannot conclusively either affirm or reject the APT. Our conclusions differ markedly from other studies which employ traditional significance-testing procedures and, in many instances, fail to reject the APT restrictions.
Jonathan Fletcher - One of the best experts on this subject based on the ideXlab platform.
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An Examination of UK Unit Trust Performance within the Arbitrage Pricing Theory Framework
Review of Quantitative Finance and Accounting, 1997Co-Authors: Jonathan FletcherAbstract:This paper examines the performance of a sample of 101 United Kingdom unit trusts within an Arbitrage Pricing Theory framework and considers the relationship between performance and the investment objective, size and expenses of the trusts. Also, portfolio strategies using past trust performances to rank the trusts fails to generate significant abnormal returns relative to two different benchmark portfolios.
