Nonconcave robust optimization with discrete strategies under Knightian uncertainty
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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.
KeywordsNonconcave robust optimization Robust utility maximization Knightian uncertainty
Mathematics Subject Classification93E20 49L20 91B16
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