Nonconcave robust optimization with discrete strategies under Knightian uncertainty

Ariel Neufeld; Mario Šikić

doi:10.1007/s00186-019-00669-7

Nonconcave robust optimization with discrete strategies under Knightian uncertainty

Ariel Neufeld^*, Mario Šikić

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

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.

Original language	English
Pages (from-to)	229-253
Number of pages	25
Journal	Mathematical Methods of Operations Research
Volume	90
Issue number	2
DOIs	https://doi.org/10.1007/s00186-019-00669-7
Publication status	Published - Oct 1 2019
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2019, Springer-Verlag GmbH Germany, part of Springer Nature.

ASJC Scopus Subject Areas

Software
General Mathematics
Management Science and Operations Research

Keywords

Knightian uncertainty
Nonconcave robust optimization
Robust utility maximization

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10.1007/s00186-019-00669-7

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KW - Robust utility maximization

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Nonconcave robust optimization with discrete strategies under Knightian uncertainty

Abstract

Bibliographical note

ASJC Scopus Subject Areas

Keywords

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