Convex duality in optimal investment under illiquidity
نویسندگان
چکیده
منابع مشابه
Convex duality in optimal investment under illiquidity
We study the problem of optimal investment by embedding it in the general conjugate duality framework of convex analysis. This allows for various extensions to classical models of liquid markets. In particular, we obtain a dual representation for the optimum value function in the presence of portfolio constraints and nonlinear trading costs that are encountered e.g. in modern limit order market...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2013
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-013-0721-5