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| Paper Code | |
| Title | Convex Duality Theory for Optimal Investment |
| Authors | Xia Jianming |
| Corresponding Author | |
| Year | 2008 |
| Title of Journal | |
| Volume | 42 |
| Number | 1 |
| Page | 663-678 |
| Abstract | Abstract
In this survey we briefly introduce the recent developments of the convex duality theory for portfolio optimization in incomplete financial markets, for both single-agent and multi-agent cases. Utility-based approaches to contingent claim pricing which are closely related to the duality methods for the expected utility maximization are also presented. |
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| Others: | Abstract
In this survey we briefly introduce the recent developments of the convex duality theory for portfolio optimization in incomplete financial markets, for both single-agent and multi-agent cases. Utility-based approaches to contingent claim pricing which are closely related to the duality methods for the expected utility maximization are also presented. |
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