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Alexander Schied
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2020 – today
- 2022
- [j20]Paul Embrechts, Alexander Schied
, Ruodu Wang
:
Robustness in the Optimization of Risk Measures. Oper. Res. 70(1): 95-110 (2022) - [i1]Xiyue Han, Alexander Schied:
Robust Faber-Schauder approximation based on discrete observations of an antiderivative. CoRR abs/2211.11907 (2022) - 2021
- [j19]Peng Liu
, Alexander Schied
, Ruodu Wang
:
Distributional Transforms, Probability Distortions, and Their Applications. Math. Oper. Res. 46(4): 1490-1512 (2021) - 2020
- [j18]Eyal Neuman, Alexander Schied
, Chengguo Weng, Xiaole Xue:
A central bank strategy for defending a currency peg. Syst. Control. Lett. 144: 104761 (2020)
2010 – 2019
- 2019
- [j17]Alexander Schied
, Tao Zhang:
A Market Impact Game Under Transient Price Impact. Math. Oper. Res. 44(1): 102-121 (2019) - 2018
- [j16]Alexander Schied, Leo Speiser, Iryna Voloshchenko:
Model-Free Portfolio Theory and Its Functional Master Formula. SIAM J. Financial Math. 9(3): 1074-1101 (2018) - 2017
- [j15]Volker Krätschmer, Alexander Schied, Henryk Zähle:
Domains of weak continuity of statistical functionals with a view toward robust statistics. J. Multivar. Anal. 158: 1-19 (2017) - [j14]Alexander Schied, Elias Strehle
, Tao Zhang:
High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact. SIAM J. Financial Math. 8(1): 589-634 (2017) - 2016
- [j13]Eyal Neuman, Alexander Schied:
Optimal portfolio liquidation in target zone models and catalytic superprocesses. Finance Stochastics 20(2): 495-509 (2016) - [j12]Aurélien Alfonsi
, Florian Klöck, Alexander Schied:
Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions. Math. Oper. Res. 41(3): 914-934 (2016) - 2014
- [j11]Volker Krätschmer, Alexander Schied, Henryk Zähle:
Comparative and qualitative robustness for law-invariant risk measures. Finance Stochastics 18(2): 271-295 (2014) - 2013
- [j10]Christopher Lorenz, Alexander Schied:
Drift dependence of optimal trade execution strategies under transient price impact. Finance Stochastics 17(4): 743-770 (2013) - [j9]Aurélien Alfonsi
, Alexander Schied:
Capacitary Measures for Completely Monotone Kernels via Singular Control. SIAM J. Control. Optim. 51(2): 1758-1780 (2013) - 2012
- [j8]Volker Krätschmer, Alexander Schied, Henryk Zähle:
Qualitative and infinitesimal robustness of tail-dependent statistical functionals. J. Multivar. Anal. 103(1): 35-47 (2012) - [j7]Aurélien Alfonsi
, Alexander Schied, Alla Slynko:
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem. SIAM J. Financial Math. 3(1): 511-533 (2012) - 2010
- [j6]Aurélien Alfonsi
, Alexander Schied:
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models. SIAM J. Financial Math. 1(1): 490-522 (2010)
2000 – 2009
- 2009
- [j5]Alexander Schied, Torsten Schöneborn:
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Finance Stochastics 13(2): 181-204 (2009) - 2008
- [j4]Alexander Schied:
Robust optimal control for a consumption-investment problem. Math. Methods Oper. Res. 67(1): 1-20 (2008) - 2007
- [j3]Alexander Schied:
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Finance Stochastics 11(1): 107-129 (2007) - [c1]Daniel Hernandez-Hernandez, Alexander Schied:
Robust maximization of consumption with logarithmic utility. ACC 2007: 1120-1123 - 2005
- [j2]Alexander Schied:
Optimal Investments for Robust Utility Functionals in Complete Market Models. Math. Oper. Res. 30(3): 750-764 (2005) - 2002
- [j1]Hans Föllmer, Alexander Schied:
Convex measures of risk and trading constraints. Finance Stochastics 6(4): 429-447 (2002)
Coauthor Index
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