Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A Duality Result for Robust Optimization with Expectation Constraints   This paper demonstrates a practical method for computing the solution of an
expectation-constrained robust maximization problem with immediate applications
to model-free no-arbitrage bounds and super-replication values for many
financial derivatives. While the previous literature has connected
super-replication values to a convex minimization problem whose objective
function is related to a sequence of iterated concave envelopes, we show how
this whole process can be encoded in a single convex minimization problem. The
natural finite-dimensional approximation of this minimization problem results
in an easily-implementable sparse linear program. We highlight this technique
by obtaining no-arbitrage bounds on the prices of forward-starting options,
continuously-monitored variance swaps, and discretely-monitored gamma swaps,
each subject to observed bid-ask spreads of finitely-many vanilla options.

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The categories of this paper are: chem-ph
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The categories of this paper are: funct-an
6
The categories of this paper are: astro-ph
15
The categories of this paper are: nucl-ex
13
The categories of this paper are: quant-ph
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The categories of this paper are: plasm-ph
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The categories of this paper are: ao-sci
20
The categories of this paper are: acc-phys
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The categories of this paper are: q-alg
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The categories of this paper are: supr-con
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The categories of this paper are: bayes-an
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The categories of this paper are: cmp-lg
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The categories of this paper are: patt-sol
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The categories of this paper are: q-bio
3
The categories of this paper are: physics
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The categories of this paper are: dg-ga