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.
File in questo prodotto:
File Dimensione Formato  
entropy-313668-english done.pdf

accesso aperto

Descrizione: Articolo principale
Tipologia: 2a Post-print versione editoriale / Version of Record
Licenza: Creative commons
Dimensione 259.44 kB
Formato Adobe PDF
259.44 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

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