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
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author Santacroce, Marina
Siri, Paola
Trivellato, Barbara
author_facet Santacroce, Marina
Siri, Paola
Trivellato, Barbara
author_sort Santacroce, Marina
collection PubMed
description 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.
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spelling pubmed-75130212020-11-09 An Application of Maximal Exponential Models to Duality Theory Santacroce, Marina Siri, Paola Trivellato, Barbara Entropy (Basel) Article 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. MDPI 2018-06-27 /pmc/articles/PMC7513021/ /pubmed/33265585 http://dx.doi.org/10.3390/e20070495 Text en © 2018 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Santacroce, Marina
Siri, Paola
Trivellato, Barbara
An Application of Maximal Exponential Models to Duality Theory
title An Application of Maximal Exponential Models to Duality Theory
title_full An Application of Maximal Exponential Models to Duality Theory
title_fullStr An Application of Maximal Exponential Models to Duality Theory
title_full_unstemmed An Application of Maximal Exponential Models to Duality Theory
title_short An Application of Maximal Exponential Models to Duality Theory
title_sort application of maximal exponential models to duality theory
topic Article
url 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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