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Showing 1 to 4 of 4 for “"Convex duality"”.
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On two utility maximization problems
… and unifying approach to the two problems is convex duality in a semimartingale market model. Utility maximization under ratchet and drawdown constraints on consumption in incomplete semimartingale markets. We consider the value function associated with this concave optimization problem as …
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Dynamic optimal asset allocation with optimal stopping
… optimal control and optimal stopping, we use the convex duality approach to transform it to a pure optimal stopping problem. The value function can be characterized using early exercise premium representation which depends on the optimal retirement boundary. We show that immediate retirement is …
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Power and limitations of convex formulations via linear and semidefinite programming lifts
Convex relaxation methods play an important role in mathematical optimization to tackle hard nonconvex problems, and have been applied successfully in many areas of science and engineering. At the heart of such methods lies the question of obtaining a tractable description of the convex hull of a …
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Selección óptima de portafolio para una compañía aseguradora
… Usando el método de martingalas y la dualidad convexa se caracteriza la estrategia que maximiza la utilidad esperada de la ganancia final.