Convex duality in optimal investment and contingent claim valuation in illiquid markets

DOI10.1007/s00780-018-0372-8zbMath1416.91358arXiv1603.02867OpenAlexW2962998651MaRDI QIDQ1788820

Teemu Pennanen, Ari-Pekka Perkkiö

Publication date: 8 October 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.02867

zbMATH Keywords

convex dualityvaluationilliquidityoptimal investment

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Portfolio theory (91G10)

Related Items (3)

Unnamed Item ⋮ Optimality Conditions for Convex Stochastic Optimization Problems in Banach Spaces with Almost Sure State Constraints ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

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