On optimal strategies for utility maximizers in the Arbitrage Pricing Model release_tdwicytd2zbmzj5vx7kofrq6fa

by Miklos Rasonyi

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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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Type  article
Stage   submitted
Date   2016-02-18
Version   v1
Language   en ?
arXiv  1602.05758v1
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