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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.

An application of maximal exponential models to duality theory / Santacroce, Marina; Siri, Paola; Trivellato, Barbara. - In: ENTROPY. - ISSN 1099-4300. - 20:7(2018), pp. 1-9. [10.3390/e20070495]

An application of maximal exponential models to duality theory

Santacroce, Marina;Siri, Paola;Trivellato, Barbara
2018

Abstract

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.
2018
ENTROPY
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11583/2720783