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Entropy, Vol. 20, Pages 495: An Application of Maximal Exponential Models to Duality Theory

Entropy, Vol. 20, Pages 495: An Application of Maximal Exponential Models to Duality Theory

Entropy doi: 10.3390/e20070495

Authors: Marina Santacroce Paola Siri Barbara Trivellato

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.

Authors:   Santacroce, Marina ; Siri, Paola ; Trivellato, Barbara
Journal:   Entropy
Volume:   20
edition:   7
Year:   2018
Pages:   495
DOI:   10.3390/e20070495
Publication date:   27-Jun-2018
Facts, background information, dossiers
  • entropy
  • Minimax
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