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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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| File | Description | Size | Format | |
|---|---|---|---|---|
| Nonconcave robust optimization with discrete strategies under Knightian uncertainty.pdf | 311.26 kB | Adobe PDF | View/Open |
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