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Article

An Application of Maximal Exponential Models to Duality Theory

Dipartimento di Scienze Matematiche “G.L. Lagrange”, Dipartimento di Eccellenza 2018-2022, Politecnico di Torino, Corso Duca degli Abruzzi 24, 10129 Torino, Italy
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Entropy 2018, 20(7), 495; https://doi.org/10.3390/e20070495
Received: 23 May 2018 / Revised: 21 June 2018 / Accepted: 22 June 2018 / Published: 27 June 2018
(This article belongs to the Special Issue Theoretical Aspect of Nonlinear Statistical Physics)
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. View Full-Text
Keywords: maximal exponential model; Orlicz spaces; convex duality; exponential utility maximal exponential model; Orlicz spaces; convex duality; exponential utility
MDPI and ACS Style

Santacroce, M.; Siri, P.; Trivellato, B. An Application of Maximal Exponential Models to Duality Theory. Entropy 2018, 20, 495. https://doi.org/10.3390/e20070495

AMA Style

Santacroce M, Siri P, Trivellato B. An Application of Maximal Exponential Models to Duality Theory. Entropy. 2018; 20(7):495. https://doi.org/10.3390/e20070495

Chicago/Turabian Style

Santacroce, Marina, Paola Siri, and Barbara Trivellato. 2018. "An Application of Maximal Exponential Models to Duality Theory" Entropy 20, no. 7: 495. https://doi.org/10.3390/e20070495

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