Nonconcave robust optimization with discrete strategies under Knightian uncertainty

Nonconcave robust optimization with discrete strategies under Knightian uncertainty

We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are not concave. We provide conditions under which a maximizer e...

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Main Authors: Neufeld, Ariel, Šikić, Mario
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2020
Subjects:
Science::Mathematics
Nonconcave Robust Optimization
Robust Utility Maximization
Online Access:https://hdl.handle.net/10356/143210
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-1432102023-02-28T19:47:23Z Nonconcave robust optimization with discrete strategies under Knightian uncertainty Neufeld, Ariel Šikić, Mario School of Physical and Mathematical Sciences Science::Mathematics Nonconcave Robust Optimization Robust Utility Maximization We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are not concave. We provide conditions under which a maximizer exists. The class of problems covered by our robust optimization problem includes optimal stopping and semi-static trading under Knightian uncertainty. Accepted version 2020-08-12T08:25:05Z 2020-08-12T08:25:05Z 2019 Journal Article Neufeld, A., & Šikić, M. (2019). Nonconcave robust optimization with discrete strategies under Knightian uncertainty. Mathematical Methods of Operations Research, 90(2), 229-253. doi:10.1007/s00186-019-00669-7 1432-2994 https://hdl.handle.net/10356/143210 10.1007/s00186-019-00669-7 2-s2.0-85065450157 2 90 229 253 en Mathematical Methods of Operations Research © 2019 Springer. This is a post-peer-review, pre-copyedit version of an article published in Mathematical Methods of Operations Research. The final authenticated version is available online at: http://dx.doi.org/10.1007/s00186-019-00669-7 application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic Science::Mathematics
Nonconcave Robust Optimization
Robust Utility Maximization
spellingShingle Science::Mathematics
Nonconcave Robust Optimization
Robust Utility Maximization
Neufeld, Ariel
Šikić, Mario
Nonconcave robust optimization with discrete strategies under Knightian uncertainty
description We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are not concave. We provide conditions under which a maximizer exists. The class of problems covered by our robust optimization problem includes optimal stopping and semi-static trading under Knightian uncertainty.
author2 School of Physical and Mathematical Sciences
author_facet School of Physical and Mathematical Sciences
Neufeld, Ariel
Šikić, Mario
format Article
author Neufeld, Ariel
Šikić, Mario
author_sort Neufeld, Ariel
title Nonconcave robust optimization with discrete strategies under Knightian uncertainty
title_short Nonconcave robust optimization with discrete strategies under Knightian uncertainty
title_full Nonconcave robust optimization with discrete strategies under Knightian uncertainty
title_fullStr Nonconcave robust optimization with discrete strategies under Knightian uncertainty
title_full_unstemmed Nonconcave robust optimization with discrete strategies under Knightian uncertainty
title_sort nonconcave robust optimization with discrete strategies under knightian uncertainty
publishDate 2020
url https://hdl.handle.net/10356/143210
_version_ 1759857819546288128

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