英文标题：
《From small markets to big markets》
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作者：
Laurence Carassus and Miklos Rasonyi
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最新提交年份：
2020
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英文摘要：
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising expected utility in this setting. Besides establishing the existence of optimizers under weaker assumptions than previous papers, we go on studying the relationship between optimal investments in finite market segments and those in the whole market. We show that certain natural (but nontrivial) continuity rules hold: maximal satisfaction, reservation prices and (convex combinations of) optimizers computed in small markets converge to their respective counterparts in the big market.
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中文摘要：
我们研究了一个大型金融市场最著名的例子：套利定价模型，在该模型中，投资者可以在一个周期内进行交易，其中有可数目的资产接受因子结构。我们考虑在这种情况下期望效用最大化的问题。除了在比以前的论文更弱的假设下建立优化器的存在性之外，我们还继续研究有限市场细分中的最优投资与整个市场中的最优投资之间的关系。我们证明了某些自然（但非平凡）连续性规则是成立的：在小市场中计算的最大满意度、保留价格和（凸组合）优化器在大市场中收敛到各自对应的优化器。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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