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Convex Duality in Stochastic Optimization and Mathematical Finance.

Teemu Pennanen
Published in: Math. Oper. Res. (2011)
Keyphrases
  • stochastic optimization
  • multistage
  • convex optimization
  • computational intelligence
  • convex hull
  • linear programming
  • convex programming
  • decision making
  • feature space
  • resource allocation
  • primal dual
  • financial markets