IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1711.03875.html
   My bibliography  Save this paper

Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty

Author

Listed:
  • Ariel Neufeld
  • Mario Sikic

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.

Suggested Citation

  • Ariel Neufeld & Mario Sikic, 2017. "Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty," Papers 1711.03875, arXiv.org, revised Apr 2019.
  • Handle: RePEc:arx:papers:1711.03875
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1711.03875
    File Function: Latest version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Marcel Nutz & Jianfeng Zhang, 2012. "Optimal stopping under adverse nonlinear expectation and related games," Papers 1212.2140, arXiv.org, revised Sep 2015.
    2. Anis Matoussi & Dylan Possamaï & Chao Zhou, 2015. "Robust Utility Maximization In Nondominated Models With 2bsde: The Uncertain Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 25(2), pages 258-287, April.
    3. I. V. Evstigneev, 1976. "Measurable Selection and Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 1(3), pages 267-272, August.
    4. Marcel Nutz, 2016. "Utility Maximization Under Model Uncertainty In Discrete Time," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 252-268, April.
    5. Ariel Neufeld & Mario Sikic, 2016. "Robust Utility Maximization in Discrete-Time Markets with Friction," Papers 1610.09230, arXiv.org, revised May 2018.
    6. Erhan Bayraktar & Song Yao, 2009. "Optimal Stopping for Non-linear Expectations," Papers 0905.3601, arXiv.org, revised Jan 2011.
    7. Christian Reichlin, 2016. "Behavioral Portfolio Selection: Asymptotics And Stability Along A Sequence Of Models," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 51-85, January.
    8. Bayraktar, Erhan & Yao, Song, 2011. "Optimal stopping for non-linear expectations--Part I," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 185-211, February.
    9. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and duality in nondominated discrete-time models," Papers 1305.6008, arXiv.org, revised Mar 2015.
    10. Sara Biagini & Mustafa Pinar, 2015. "The Robust Merton Problem of an Ambiguity Averse Investor," Papers 1502.02847, arXiv.org.
    11. Laurence Carassus & Mikl'os R'asonyi & Andrea M. Rodrigues, 2015. "Non-concave utility maximisation on the positive real axis in discrete time," Papers 1501.03123, arXiv.org, revised Apr 2015.
    12. Lin, Qian & Riedel, Frank, 2014. "Optimal consumption and portfolio choice with ambiguity," Center for Mathematical Economics Working Papers 497, Center for Mathematical Economics, Bielefeld University.
    Full references (including those not matched with items on IDEAS)

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1711.03875. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.