We study in this paper the strong duality for discrete-time convex constrained portfolio selection problems when adopting a risk neutral computational approach. In contrast to the continuous-time models, there is no known result of the existence conditions in discrete-time models to ensure the strong duality. Investigating the relationship among the primal problem, the Lagrangian dual and the P...

We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first theorem relates a numéraire-based admissibility condition in the primal problem to the notion of a lo...

A gauge function f(.) is a nonnegative convex function that is positively homogeneous and satisfies f(O)=O. Norms and pseudonorms are specific instances of a gauge function. This paper presents a gauge duality theory for a gauge program, which is the problem of minimizing the value of a gauge function f(.) over a convex set. The gauge dual program is also a gauge program, unlike the standard La...

We study the optimal transport between two probability measures on the real line, where the transport plans are laws of one-step martingales. A quasi-sure formulation of the dual problem is introduced and shown to yield a complete duality theory for general marginals and measurable reward (cost) functions: absence of a duality gap and existence of dual optimizers. Both properties are shown to f...

Wei’s celebrated Duality Theorem is generalized in several ways, expressed as duality theorems for linear codes over division rings and, more generally, duality theorems for matroids. These results are further generalized, resulting in two Wei-type duality theorems for new combinatorial structures that are introduced and named demi-matroids. These generalize matroids and are the appropriate com...

A new dual problem for convex generalized fractional programs with no duality gap is presented and it is shown how this dual problem can be efficiently solved using a parametric approach. The resulting algorithm can be seen as "'dual'" to the Dinkelbach-type algorithm for generalized fractional programs since it approximates the optimal objective value of the dual (primal) problem from below. C...

We study the duality between corings and ring extensions. We construct a new category with a self-dual functor acting on it, which extends that duality. This construction can be seen as the non-commutative case of another duality extension: the duality between finite dimensional algebras and coalgebra. Both these duality extensions have some similarities with the Pontryagin-van Kampen duality t...

A generalization of the known results in fusion frames and $g$-frames theory to continuous fusion frames which defined by M. H. Faroughi and R. Ahmadi, is presented in this study. Continuous resolution of the identity (CRI) is introduced, a new family of CRI is constructed, and a number of reconstruction formulas are obtained. Also, new results are given on the duality of continuous fusion fram...