Convex duality in optimal investment under illiquidity

DOI10.1007/S10107-013-0721-5zbMATH Open1307.91168OpenAlexW2025988008MaRDI QIDQ484140FDOQ484140

Authors: Teemu Pennanen 

Publication date: 18 December 2014

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-013-0721-5

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zbMATH Keywords

convex dualityilliquidityoptimal investment

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10) Duality theory for topological vector spaces (46A20)

Cites Work

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• DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS

Cited In (8)

• Optimal investment and contingent claim valuation in illiquid markets
• Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
• Classifying financial markets up to isomorphism
• DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
• Log-optimal and rapid paths in von Neumann-Gale dynamical systems
• Duality and liquidity constraints under uncertainty
• Convex duality theory for optimal investment
• Convex duality in optimal investment and contingent claim valuation in illiquid markets

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