An Application of Maximal Exponential Models to Duality Theory

We use maximal exponential models to characterize a suitable polar cone in a mathematical convex optimization framework. A financial application of this result is provided, leading to a duality minimax theorem related to portfolio exponential utility maximization.

Detalles Bibliográficos
Autores principales: Santacroce, Marina, Siri, Paola, Trivellato, Barbara
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2018
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7513021/
https://www.ncbi.nlm.nih.gov/pubmed/33265585
http://dx.doi.org/10.3390/e20070495

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7513021/
https://www.ncbi.nlm.nih.gov/pubmed/33265585
http://dx.doi.org/10.3390/e20070495

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