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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