Convex duality in optimal investment under illiquidity

DOI10.1007/s10107-013-0721-5zbMath1307.91168OpenAlexW2025988008MaRDI QIDQ484140

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

zbMATH Keywords

convex dualityilliquidityoptimal investment

Mathematics Subject Classification ID

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

Related Items (4)

Classifying financial markets up to isomorphism ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Log-optimal and rapid paths in von Neumann-Gale dynamical systems ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

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