94 citations · 145 across the 20 of their papers we have counts for
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math.OC2016
Convex integral functionals of processes of bounded variation
Teemu Pennanen, Ari-Pekka Perkkiö
This article characterizes conjugates and subdifferentials of convex integral functionals over the linear space of stochastic processes of essentially bounded v…
q-fin.MF2016
Convex duality in optimal investment and contingent claim valuation in illiquid markets
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constr…
math.OC2016
Shadow price of information in discrete time stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
The shadow price of information has played a central role in stochastic optimization ever since its introduction by Rockafellar and Wets in the mid-seventies. This article studies…