Convex duality in optimal investment and contingent claim valuation in illiquid markets
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Publication:1788820
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
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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