Regarding this answer. We can take $K=\{(0,0)\}\cup\{(a,b):~a>0,b>0\}$. We have $K^*=\{(a,b):~a\geq 0,b\geq 0\}$. Let us take $C=\{(0,0)\}\cup\{(a,b):~a\geq 0,b>0\}$ and notice $K \subset C$. But we do not have $K^{**}\subset C$ as stated in your answer, because $K^{**}=K^*$ that is larger than $C$.
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"$K^{} = K^*$ that is larger than $C$" --- no, $K^{} = K^* = C$. – Zach Teitler Jun 23 '17 at 14:20
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Thanks for your quick response. C is not $K^$, because $K^$ has both $a,b\geq 0$, while $C$ has $b>0$. – Daniel Porumbel Jun 23 '17 at 22:12
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Oh, right! Sorry. The answer you linked to needs $C$ to be a closed convex cone. If $K \subseteq C$ and $C$ is closed and convex, then $K^{} \subseteq C^{} = C$. The inclusion is more or less automatic, the equality uses the hyperplane separation and that $C$ is closed. – Zach Teitler Jun 23 '17 at 22:44
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Ok, thanks; everything is clear now. – Daniel Porumbel Jun 23 '17 at 22:53