Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/143210
Title: Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Authors: Neufeld, Ariel
Šikić, Mario
Keywords: Science::Mathematics
Issue Date: 2019
Source: 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
Journal: Mathematical Methods of Operations Research
Abstract: 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.
URI: https://hdl.handle.net/10356/143210
ISSN: 1432-2994
DOI: 10.1007/s00186-019-00669-7
Rights: © 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
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Journal Articles

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