Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty

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.

arXiv admin note: text overlap with arXiv:1610.09230

References in corpus (3)

• Arbitrage and duality in nondominated discrete-time models
• Exponential utility maximization under model uncertainty for unbounded endowments
• Robust Optimal Investment in Discrete Time for Unbounded Utility Function