Alexander Schied

Publication Activity (10 Years)

Years Active: 2002-2022
Publications (10 Years): 10

Top Topics

Portfolio Theory

Nash Equilibria

Robust Statistics

Top Venues

Finance Stochastics

Math. Oper. Res.

SIAM J. Financial Math.

Publications

Paul Embrechts, Alexander Schied, Ruodu Wang
Robustness in the Optimization of Risk Measures. Oper. Res. 70 (1) (2022)
Xiyue Han, Alexander Schied
Robust Faber-Schauder approximation based on discrete observations of an antiderivative. CoRR (2022)
Peng Liu, Alexander Schied, Ruodu Wang
Distributional Transforms, Probability Distortions, and Their Applications. Math. Oper. Res. 46 (4) (2021)
Eyal Neuman, Alexander Schied, Chengguo Weng, Xiaole Xue
A central bank strategy for defending a currency peg. Syst. Control. Lett. 144 (2020)
Alexander Schied, Tao Zhang
A Market Impact Game Under Transient Price Impact. Math. Oper. Res. 44 (1) (2019)
Alexander Schied, Leo Speiser, Iryna Voloshchenko
Model-Free Portfolio Theory and Its Functional Master Formula. SIAM J. Financial Math. 9 (3) (2018)
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) (2017)
Volker Krätschmer, Alexander Schied, Henryk Zähle
Domains of weak continuity of statistical functionals with a view toward robust statistics. J. Multivar. Anal. 158 (2017)
Aurélien Alfonsi, Florian Klöck, Alexander Schied
Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions. Math. Oper. Res. 41 (3) (2016)
Eyal Neuman, Alexander Schied
Optimal portfolio liquidation in target zone models and catalytic superprocesses. Finance Stochastics 20 (2) (2016)
Volker Krätschmer, Alexander Schied, Henryk Zähle
Comparative and qualitative robustness for law-invariant risk measures. Finance Stochastics 18 (2) (2014)
Christopher Lorenz, Alexander Schied
Drift dependence of optimal trade execution strategies under transient price impact. Finance Stochastics 17 (4) (2013)
Aurélien Alfonsi, Alexander Schied
Capacitary Measures for Completely Monotone Kernels via Singular Control. SIAM J. Control. Optim. 51 (2) (2013)
Volker Krätschmer, Alexander Schied, Henryk Zähle
Qualitative and infinitesimal robustness of tail-dependent statistical functionals. J. Multivar. Anal. 103 (1) (2012)
Aurélien Alfonsi, Alexander Schied, Alla Slynko
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem. SIAM J. Financial Math. 3 (1) (2012)
Aurélien Alfonsi, Alexander Schied
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models. SIAM J. Financial Math. 1 (1) (2010)
Alexander Schied, Torsten Schöneborn
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Finance Stochastics 13 (2) (2009)
Alexander Schied
Robust optimal control for a consumption-investment problem. Math. Methods Oper. Res. 67 (1) (2008)
Daniel Hernandez-Hernandez, Alexander Schied
Robust maximization of consumption with logarithmic utility. ACC (2007)
Alexander Schied
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Finance Stochastics 11 (1) (2007)
Alexander Schied
Optimal Investments for Robust Utility Functionals in Complete Market Models. Math. Oper. Res. 30 (3) (2005)
Hans Föllmer, Alexander Schied
Convex measures of risk and trading constraints. Finance Stochastics 6 (4) (2002)