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An Application of Maximal Exponential Models to Duality Theory. | LitMetric
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An Application of Maximal Exponential Models to Duality Theory.

Marina Santacroce Paola Siri Barbara Trivellato

Entropy (Basel)

Dipartimento di Scienze Matematiche "G.L. Lagrange", Dipartimento di Eccellenza 2018-2022, Politecnico di Torino, Corso Duca degli Abruzzi 24, 10129 Torino, Italy.

Published: June 2018

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.

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 Source
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC7513021PMC
http://dx.doi.org/10.3390/e20070495DOI Listing

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