94 citations · 145 across the 20 of their papers we have counts for
Showing 2013Show all
2 papers · 1 filter
math.OC2013
Duality in convex problems of Bolza over functions of bounded variation
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies convex problems of Bolza in the conjugate duality framework of Rockafellar. We parameterize the problem by a general Borel measure which has direct economic inte…
q-fin.RM2013★ 1 cited
Liability-driven investment in longevity risk management
Helena Aro, Teemu Pennanen
This paper studies optimal investment from the point of view of an investor with longevity-linked liabilities. The relevant optimization problems rarely are analytically tractable,…