Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty

Ariel Neufeld; Mario Sikic

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arXiv · 1711.03875

Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty

Ariel Neufeld·Mario Sikic

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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.

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BibTeX RIS

Ariel Neufeld, Mario Sikic. 2019-04-23. Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty. https://arxiv.org/abs/1711.03875

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