An Application of Maximal Exponential Models to Duality Theory

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.

Bibliographic Details
Main Authors: Marina Santacroce, Paola Siri, Barbara Trivellato
Format: Article
Language:English
Published: MDPI AG 2018-06-01
Series:Entropy
Subjects:
maximal exponential model
Orlicz spaces
convex duality
exponential utility
Online Access:http://www.mdpi.com/1099-4300/20/7/495

Internet

http://www.mdpi.com/1099-4300/20/7/495

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