Related papers: Convex duality with transaction costs

We prove the Duality Theorems for the stochastic optimal transportation problems with a convex cost function without a regularity assumption that is often supposed in the proof of the lower semicontinuity of an action integral. In our new…

This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…

We study super-replication of contingent claims in markets with delayed filtration. The first result in this paper reveals that in the Black--Scholes model with constant delay the super-replication price is prohibitively costly and leads to…

In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing for the first time on the context where…

In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…

We present a parallelized primal-dual algorithm for solving constrained convex optimization problems. The algorithm is "block-based," in that vectors of primal and dual variables are partitioned into blocks, each of which is updated only by…

In this paper, we obtain a duality result for the exponential utility maximization problem where trading is subject to quadratic transaction costs and the investor is required to liquidate her position at the maturity date. As an…

In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order…

A solvency cone is a polyhedral convex cone which is used in Mathematical Finance to model proportional transaction costs. It consists of those portfolios which can be traded into nonnegative positions. In this note, we provide a…

Mass transportation problems appear in various areas of mathematics, their solutions involving cost convex potentials. Fenchel duality also represents an important concept for a wide variety of optimization problems, both from the…

Hidden convexity is a powerful idea in optimization: under the right transformations, nonconvex problems that are seemingly intractable can be solved efficiently using convex optimization. We introduce the notion of a Lagrangian dual…

This paper addresses a novel \emph{cost-sensitive} distributionally robust log-optimal portfolio problem, where the investor faces \emph{ambiguous} return distributions, and a general convex transaction cost model is incorporated. The…

We investigate expected utility maximization problems from the terminal liquidation value in continuous time in markets with transaction costs and one fixed consistent price system, where a non-concave utility function is defined on the…

In this paper we consider resource allocation problem stated as a convex minimization problem with linear constraints. To solve this problem, we use gradient and accelerated gradient descent applied to the dual problem and prove the…

This paper studies convex problems of Bolza in the conjugate duality framework of Rockafellar. We parameterize the problem by a general Borel measure which has direct economic interpretation in problems of financial economics. We derive a…

This note establishes a limiting formula for the conic Lagrangian dual of a convex infinite optimization problem, correcting the classical version of Karney [Math. Programming 27 (1983) 75-82] for convex semi-infinite programs. A…

This article studies problems of optimal transport, by embedding them in a general functional analytic framework of convex optimization. This provides a unified treatment of a large class of related problems in probability theory and allows…

We associate with each convex optimization problem, posed on some locally convex space, with infinitely many constraints indexed by the set T, and a given non-empty family H of finite subsets of T, a suitable Lagrangian-Haar dual problem.…

The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, which is highly relevant from a financial perspective but also…

Consider a financial market in which an agent trades with utility-induced restrictions on wealth. By introducing a general convex-analytic framework which includes the class of umbrella wedges in certain Riesz spaces and faces of convex…