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Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Mathematical Methods of Operations Research ( IF 0.9 ) Pub Date : 2019-05-03 , DOI: 10.1007/s00186-019-00669-7
Ariel Neufeld , Mario Šikić

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.

中文翻译:

骑士不确定性下具有离散策略的非凹面鲁棒优化

我们在离散时间的准保证条件下研究鲁棒的随机优化问题。多时期情况下的策略仅限于采用离散集中的值的策略。所考虑的优化问题不是凹形的。我们提供了存在最大化器的条件。我们的鲁棒优化问题所涵盖的问题类别包括:在Knightian不确定性下的最优止损和半静态交易。
更新日期:2019-05-03
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