135 citations · 234 across the 30 of their papers we have counts for
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math.OC2017
Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty
Ariel Neufeld, Mario Sikic
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 disc…
q-fin.MF2017
Pathwise superhedging on prediction sets
Daniel Bartl, Michael Kupper, Ariel Neufeld
In this paper we provide a pricing-hedging duality for the model-independent superhedging price with respect to a prediction set , where the superhedging propert…
q-fin.MF2017
Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims
Ariel Neufeld
We show that when the price process represents a fully incomplete market, the optimal super-replication of any Markovian claim with being nonnegative and lo…