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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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 |
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Nanyang Technological University |
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NTU Library |
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Asia |
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Singapore Singapore |
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NTU Library |
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English |
| topic |
Science::Mathematics Nonconcave Robust Optimization Robust Utility Maximization |
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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 |