Nonconcave robust optimization with discrete strategies under Knightian uncertainty

@article{Neufeld2019NonconcaveRO,
  title={Nonconcave robust optimization with discrete strategies under Knightian uncertainty},
  author={Ariel David Neufeld and Mario Sikic},
  journal={Mathematical Methods of Operations Research},
  year={2019},
  pages={1-25}
}
  • A. Neufeld, Mario Sikic
  • Published 9 November 2017
  • Computer Science, Mathematics, Economics
  • Mathematical Methods of Operations Research
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. 
1 Citations
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