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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Neufeld, Ariel | en_US |
dc.contributor.author | Šikić, Mario | en_US |
dc.date.accessioned | 2020-08-12T08:25:05Z | - |
dc.date.available | 2020-08-12T08:25:05Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | 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 | en_US |
dc.identifier.issn | 1432-2994 | en_US |
dc.identifier.uri | https://hdl.handle.net/10356/143210 | - |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.relation.ispartof | Mathematical Methods of Operations Research | en_US |
dc.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 | en_US |
dc.subject | Science::Mathematics | en_US |
dc.title | Nonconcave robust optimization with discrete strategies under Knightian uncertainty | en_US |
dc.type | Journal Article | en |
dc.contributor.school | School of Physical and Mathematical Sciences | en_US |
dc.identifier.doi | 10.1007/s00186-019-00669-7 | - |
dc.description.version | Accepted version | en_US |
dc.identifier.scopus | 2-s2.0-85065450157 | - |
dc.identifier.issue | 2 | en_US |
dc.identifier.volume | 90 | en_US |
dc.identifier.spage | 229 | en_US |
dc.identifier.epage | 253 | en_US |
dc.subject.keywords | Nonconcave Robust Optimization | en_US |
dc.subject.keywords | Robust Utility Maximization | en_US |
item.grantfulltext | open | - |
item.fulltext | With Fulltext | - |
Appears in Collections: | SPMS Journal Articles |
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File | Description | Size | Format | |
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Nonconcave robust optimization with discrete strategies under Knightian uncertainty.pdf | 311.26 kB | Adobe PDF | View/Open |
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