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Finding an optimal mechanism in a standard adverse selection model is equivalent to solving an infinite dimensional linear program. We begin with certain feasible mechanisms— those implemented by auct...
Transaction Costs, Shadow Prices, and Connections to Duality
transaction costs utility maximization shadow price convex duality
2012/6/5
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same opti...
Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type
quasiconvex functions dual representation complete duality L0-modules dynamic risk measures quasiconvex risk measures
2012/3/2
We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual ...
Duality and Convergence for Binomial Markets with Friction
Super-replication Liquidity Binomial model Limit theorems G-expectation
2011/7/4
We prove limit theorems for the super-replication cost of European options in a
Binomial model with friction. The examples covered aremarkets with proportional
transaction costs and the illiquid mar...
Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
Optimal insurance stochastic control duality optional decomposition
2010/10/21
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked poin...
Convex duality in stochastic programming and mathematical finance
Convex duality stochastic programming mathematical finance
2010/10/20
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies ma...
Is CEO/Chair Duality Associated with Greater Likelihood of an International Acquisition?
Chair Duality Greater Likelihood International Acquisition
2009/11/30
Is CEO/Chair Duality Associated with Greater Likelihood of an International Acquisition?
A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
aggregation of risks Value at Risk dependent risks risk management
2010/11/3
We propose an approach to the aggregation of risks which is based on estimation of simple quantities (such as covariances) associated to a vector of dependent random variables, and which avoids the us...