An Application of Maximal Exponential Models to Duality Theory

Entropy (Basel). 2018 Jun 27;20(7):495. doi: 10.3390/e20070495.

Abstract

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.

Keywords: Orlicz spaces; convex duality; exponential utility; maximal exponential model.