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An Application of Maximal Exponential Models to Duality Theory
Marina Santacroce1, Paola Siri1, Barbara Trivellato1
1Dipartimento di Scienze Matematiche "G.L. Lagrange", Dipartimento di Eccellenza 2018-2022, Politecnico di Torino, Corso Duca degli Abruzzi 24, 10129 Torino, Italy.
Abstract:
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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