Convex duality in optimal investment and contingent claim valuation in illiquid markets
Teemu Pennanen, Ari-Pekka Perkkiö
| Year of publication: |
October 2018
|
|---|---|
| Authors: | Pennanen, Teemu ; Perkkiö, Ari-Pekka |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 4, p. 733-771
|
| Subject: | Convex duality | Optimal investment | Valuation Illiquidity | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | CAPM | Duales Optimierungsproblem | Dual optimization problem | Investition | Investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-0372-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011946560