Preliminaries on convex analysis and vector optimization -- Conjugate duality in scalar optimization -- Conjugate vector duality via scalarization -- Conjugate duality for vector optimization problems with finite dimensional image spaces -- Wolfe and Mond-Weir duality concepts -- Duality for...

We study mean-variance hedging under portfolio constraints in a general semi-martingale model. The constraints are formulated via predictable correspondences,meaning that the trading strategy is restricted to lie in a closed convex set whichmay depend on the state and time in a predictable way....

We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is toohigh in comparison to the utility of its price. Forbidding good deals induces, viaduality, restrictions on pricing kernels and thereby...

The utility maximisation problem is considered for investors with anticipative additional information. We distinguish between models with conditional measures and models with enlarged filtrations. The dual functions of the maximal expected utility are determined with the help of f-divergences....

We present a duality concept for a class of stochastic dynamic optimization problems thatespecially includes models of investment under uncertainty. This concept allows us to deriveexplicit characterizations of optimal investment behavior from an adjustment cost model withexpectations described...