Related papers: Convex duality with transaction costs
We investigate the problem of Min-cost Perfect Matching with Delays (MPMD) in which requests are pairwise matched in an online fashion with the objective to minimize the sum of space cost and time cost. Though linear-MPMD (i.e., time cost…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and…
We are interested in solving convex optimization problems with large numbers of constraints. Randomized algorithms, such as random constraint sampling, have been very successful in giving nearly optimal solutions to such problems. In this…
This paper builds on "Collective Arbitrage and the Value of Cooperation" by Biagini et al. (2025, forthcoming in "Finance and Stochastics"), which introduced in discrete time the notions of collective arbitrage and super-replication in a…
We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market;…
The paper deals with the optimal control problem described by second order evolution differential inclusions; to this end first we use an auxiliary problem with second order discrete and discrete-approximate inclusions. Then applying…
Optimal control problems involving hybrid binary-continuous control costs are challenging due to their lack of convexity and weak lower semicontinuity. Replacing such costs with their convex relaxation leads to a primal-dual optimality…
We study asset price bubbles in market models with proportional transaction costs $\lambda\in (0,1)$ and finite time horizon $T$ in the setting of [49]. By following [28], we define the fundamental value $F$ of a risky asset $S$ as the…
This work studies the strong duality of non-convex matrix factorization problems: we show that under certain dual conditions, these problems and its dual have the same optimum. This has been well understood for convex optimization, but…
This article discusses nonconforming finite element methods for convex minimization problems and systematically derives dual mixed formulations. Duality relations lead to simple error estimates that avoid an explicit treatment of…
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new…
In Constraint Programming (CP), achieving arc-consistency (AC) of a global constraint with costs consists in removing from the domains of the variables all the values that do not belong to any solution whose cost is below a fixed bound. We…
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for a trading system. In this paper, we…
In this paper we explore the role of duality principles within the problem of rotation averaging, a fundamental task in a wide range of computer vision applications. In its conventional form, rotation averaging is stated as a minimization…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198--221, (1995).] showed how to obtain non-trivial scaling limits of superreplication prices in discrete-time models of a single risky asset…
We study distributionally robust Expected Shortfall when the distribution of the underlying is perturbed by a size quantified with optimal transport distance based on the quadratic cost function. In the dual version of the robust…
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…
This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportional transaction costs, we adopt the Kabanov's multi-asset…