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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.
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2018
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| Materias: | |
| 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 |