{"id":"https://openalex.org/W2295941433","doi":"https://doi.org/10.1007/s00780-018-0372-8","title":"Convex duality in optimal investment and contingent claim valuation in illiquid markets","display_name":"Convex duality in optimal investment and contingent claim valuation in illiquid markets","publication_year":2018,"publication_date":"2018-09-07","ids":{"openalex":"https://openalex.org/W2295941433","doi":"https://doi.org/10.1007/s00780-018-0372-8","mag":"2295941433"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-018-0372-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-018-0372-8","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00780-018-0372-8.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s00780-018-0372-8.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5071170034","display_name":"Teemu Pennanen","orcid":"https://orcid.org/0000-0002-7965-1089"},"institutions":[{"id":"https://openalex.org/I183935753","display_name":"King's College London","ror":"https://ror.org/0220mzb33","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I183935753"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Teemu Pennanen","raw_affiliation_strings":["Department of Mathematics, King\u2019s College London, Strand, London, WC2R 2LS, UK","Department of Mathematics, King\u2017s College London, London, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, King\u2019s College London, Strand, London, WC2R 2LS, UK","institution_ids":["https://openalex.org/I183935753"]},{"raw_affiliation_string":"Department of Mathematics, King\u2017s College London, London, UK","institution_ids":["https://openalex.org/I183935753"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010964919","display_name":"Ari-Pekka Perkki\u00f6","orcid":"https://orcid.org/0000-0002-9787-0330"},"institutions":[{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Ari-Pekka Perkki\u00f6","raw_affiliation_strings":["Mathematics Institute, Ludwig-Maximilian University of Munich, Theresienstr. 39, 80333, Munich, Germany","Mathematics Institute, Ludwig-Maximilian University of Munich, Munich, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Mathematics Institute, Ludwig-Maximilian University of Munich, Theresienstr. 39, 80333, Munich, Germany","institution_ids":["https://openalex.org/I8204097"]},{"raw_affiliation_string":"Mathematics Institute, Ludwig-Maximilian University of Munich, Munich, Germany","institution_ids":["https://openalex.org/I8204097"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.0,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.00786089,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"22","issue":"4","first_page":"733","last_page":"771"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/martingale","display_name":"Martingale (probability theory)","score":0.6212743520736694},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.5684712529182434},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.5149810910224915},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5001132488250732},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4929225444793701},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.48985812067985535},{"id":"https://openalex.org/keywords/duality","display_name":"Duality (order theory)","score":0.4808850586414337},{"id":"https://openalex.org/keywords/incomplete-markets","display_name":"Incomplete markets","score":0.46466031670570374},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.41206684708595276},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3970181941986084},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.33241578936576843},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.24972841143608093},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.2090727984905243},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.18258774280548096},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.14308616518974304}],"concepts":[{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.6212743520736694},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.5684712529182434},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.5149810910224915},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5001132488250732},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4929225444793701},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.48985812067985535},{"id":"https://openalex.org/C2778023678","wikidata":"https://www.wikidata.org/wiki/Q554403","display_name":"Duality (order theory)","level":2,"score":0.4808850586414337},{"id":"https://openalex.org/C109354906","wikidata":"https://www.wikidata.org/wiki/Q6015174","display_name":"Incomplete markets","level":2,"score":0.46466031670570374},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.41206684708595276},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3970181941986084},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.33241578936576843},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.24972841143608093},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.2090727984905243},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.18258774280548096},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14308616518974304},{"id":"https://openalex.org/C118615104","wikidata":"https://www.wikidata.org/wiki/Q121416","display_name":"Discrete mathematics","level":1,"score":0.0}],"mesh":[],"locations_count":8,"locations":[{"id":"doi:10.1007/s00780-018-0372-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-018-0372-8","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00780-018-0372-8.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1603.02867","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1603.02867","pdf_url":"https://arxiv.org/pdf/1603.02867","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:kclpure.kcl.ac.uk:publications/177b45af-26d7-4e9b-84b8-36a0456f63f9","is_oa":true,"landing_page_url":"https://kclpure.kcl.ac.uk/portal/en/publications/177b45af-26d7-4e9b-84b8-36a0456f63f9","pdf_url":"https://kclpure.kcl.ac.uk/ws/files/99166362/oicv_duality_FS.pdf","source":{"id":"https://openalex.org/S4306400216","display_name":"Research Portal (King's College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I183935753","host_organization_name":"King's College London","host_organization_lineage":["https://openalex.org/I183935753"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Pennanen, T & Perkki\u00f6, A-P 2018, 'Convex duality in optimal investment and contingent claim valuation in illiquid markets', Finance and Stochastics, vol. 22, no. 4, pp. 733\u2013771. https://doi.org/10.1007/s00780-018-0372-8","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"mag:2295941433","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1603.02867.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3125754852","is_oa":false,"landing_page_url":"https://econpapers.repec.org/paper/arxpapers/1603.02867.htm","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:arx:papers:1603.02867","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0372-8","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-018-0372-8","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"doi:10.48550/arxiv.1603.02867","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1603.02867","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.1007/s00780-018-0372-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-018-0372-8","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00780-018-0372-8.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"sustainable_development_goals":[{"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17","score":0.5099999904632568}],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2295941433.pdf","grobid_xml":"https://content.openalex.org/works/W2295941433.grobid-xml"},"referenced_works_count":63,"referenced_works":["https://openalex.org/W1490376211","https://openalex.org/W1577338488","https://openalex.org/W1654230272","https://openalex.org/W1848880756","https://openalex.org/W1945597105","https://openalex.org/W1964600040","https://openalex.org/W1973946491","https://openalex.org/W1975875076","https://openalex.org/W1979627408","https://openalex.org/W1983280589","https://openalex.org/W1985018066","https://openalex.org/W1991510170","https://openalex.org/W1996450459","https://openalex.org/W1998057132","https://openalex.org/W1999829305","https://openalex.org/W2000817361","https://openalex.org/W2008008561","https://openalex.org/W2019291268","https://openalex.org/W2023147992","https://openalex.org/W2025988008","https://openalex.org/W2028116748","https://openalex.org/W2030812943","https://openalex.org/W2041550349","https://openalex.org/W2044141035","https://openalex.org/W2058297600","https://openalex.org/W2060302284","https://openalex.org/W2071399736","https://openalex.org/W2078274626","https://openalex.org/W2079540372","https://openalex.org/W2086851953","https://openalex.org/W2089020092","https://openalex.org/W2094213266","https://openalex.org/W2100630492","https://openalex.org/W2107436350","https://openalex.org/W2115580984","https://openalex.org/W2120156893","https://openalex.org/W2124153301","https://openalex.org/W2124447541","https://openalex.org/W2124754312","https://openalex.org/W2127141507","https://openalex.org/W2129591712","https://openalex.org/W2131009816","https://openalex.org/W2133183661","https://openalex.org/W2147724549","https://openalex.org/W2154242301","https://openalex.org/W2157338408","https://openalex.org/W2157714812","https://openalex.org/W2157763571","https://openalex.org/W2157933738","https://openalex.org/W2161007682","https://openalex.org/W2245567763","https://openalex.org/W2261022709","https://openalex.org/W2950590124","https://openalex.org/W2951583536","https://openalex.org/W3124118240","https://openalex.org/W3124521936","https://openalex.org/W3216707380","https://openalex.org/W4213065535","https://openalex.org/W4240445410","https://openalex.org/W4249513058","https://openalex.org/W4249667877","https://openalex.org/W4293820388","https://openalex.org/W7019750463"],"related_works":["https://openalex.org/W2025988008","https://openalex.org/W2021355027","https://openalex.org/W2565945761","https://openalex.org/W2147724549","https://openalex.org/W1545334114","https://openalex.org/W1604005263","https://openalex.org/W2147096308","https://openalex.org/W3152080933","https://openalex.org/W3126128303","https://openalex.org/W797785281","https://openalex.org/W2093416580","https://openalex.org/W2282761846","https://openalex.org/W2097336059","https://openalex.org/W3124973813","https://openalex.org/W1972814471","https://openalex.org/W3122933860","https://openalex.org/W2007837379","https://openalex.org/W793153872","https://openalex.org/W3125645627","https://openalex.org/W2807670743"],"abstract_inverted_index":{"This":[0],"paper":[1],"develops":[2],"duality":[3],"theory":[4,113],"for":[5,146],"optimal":[6],"investment":[7],"and":[8,24,46,70,105,143],"contingent":[9],"claim":[10],"valuation":[11],"in":[12,100,123,153,168],"markets":[13,172],"where":[14,173],"traded":[15],"assets":[16],"may":[17],"be":[18,56],"subject":[19],"to":[20,39,55,85],"nonlinear":[21,148],"trading":[22,44,163],"costs":[23,45,164],"portfolio":[25,47],"constraints.":[26],"Under":[27],"fairly":[28],"general":[29,112],"conditions,":[30],"the":[31,40,59,67,71,111,139,147,154,174],"dual":[32,51],"expressions":[33],"decompose":[34],"into":[35],"three":[36],"terms,":[37],"corresponding":[38],"agent\u2019s":[41,72],"risk":[42],"preferences,":[43],"constraints,":[48],"respectively.":[49],"The":[50,133],"representations":[52],"are":[53,135],"shown":[54],"valid":[57],"when":[58],"market":[60,88,149],"model":[61],"satisfies":[62,75],"an":[63,76,126],"appropriate":[64,77],"generalization":[65,78],"of":[66,79,102,114,125,129,141],"no-arbitrage":[68],"condition":[69],"utility":[73],"function":[74],"asymptotic":[80],"elasticity":[81],"conditions.":[82],"When":[83],"applied":[84],"classical":[86],"liquid":[87],"models":[89,91,150],"or":[90],"with":[92],"bid\u2013ask":[93],"spreads,":[94],"we":[95,118],"recover":[96],"well-known":[97],"pricing":[98],"formulas":[99],"terms":[101,124],"martingale":[103],"measures":[104],"consistent":[106],"price":[107,176],"systems.":[108],"Building":[109],"on":[110],"convex":[115],"stochastic":[116],"optimization,":[117],"also":[119],"obtain":[120],"optimality":[121,144],"conditions":[122,145],"extended":[127],"notion":[128],"a":[130],"\u201cshadow":[131],"price\u201d.":[132],"results":[134,157],"illustrated":[136],"by":[137],"establishing":[138],"existence":[140],"solutions":[142],"recently":[151],"proposed":[152],"literature.":[155],"Our":[156],"allow":[158],"significant":[159],"extensions":[160],"including":[161],"nondifferentiable":[162],"which":[165],"arise,":[166],"e.g.,":[167],"modern":[169],"limit":[170],"order":[171],"marginal":[175],"curve":[177],"is":[178],"necessarily":[179],"discontinuous.":[180]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-07-03T08:13:44.112507","created_date":"2025-10-10T00:00:00"}
