Alexander Schied

According to our database, Alexander Schied authored at least 22 papers between 2002 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2022

Robustness in the Optimization of Risk Measures.

Paul Embrechts, Alexander Schied, Ruodu Wang

Oper. Res., 2022

Robust Faber-Schauder approximation based on discrete observations of an antiderivative.

Xiyue Han, Alexander Schied

CoRR, 2022

2021

Distributional Transforms, Probability Distortions, and Their Applications.

Peng Liu, Alexander Schied, Ruodu Wang

Math. Oper. Res., 2021

2020

A central bank strategy for defending a currency peg.

Eyal Neuman, Alexander Schied, Chengguo Weng, Xiaole Xue

Syst. Control. Lett., 2020

2019

A Market Impact Game Under Transient Price Impact.

Alexander Schied, Tao Zhang

Math. Oper. Res., 2019

2018

Model-Free Portfolio Theory and Its Functional Master Formula.

Alexander Schied, Leo Speiser, Iryna Voloshchenko

SIAM J. Financial Math., 2018

2017

High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact.

Alexander Schied, Elias Strehle, Tao Zhang

SIAM J. Financial Math., 2017

Domains of weak continuity of statistical functionals with a view toward robust statistics.

Volker Krätschmer, Alexander Schied, Henryk Zähle

J. Multivar. Anal., 2017

2016

Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions.

Aurélien Alfonsi, Florian Klöck, Alexander Schied

Math. Oper. Res., 2016

Optimal portfolio liquidation in target zone models and catalytic superprocesses.

Eyal Neuman, Alexander Schied

Finance Stochastics, 2016

2014

Comparative and qualitative robustness for law-invariant risk measures.

Volker Krätschmer, Alexander Schied, Henryk Zähle

Finance Stochastics, 2014

2013

Capacitary Measures for Completely Monotone Kernels via Singular Control.

Aurélien Alfonsi, Alexander Schied

SIAM J. Control. Optim., 2013

Drift dependence of optimal trade execution strategies under transient price impact.

Christopher Lorenz, Alexander Schied

Finance Stochastics, 2013

2012

Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem.

Aurélien Alfonsi, Alexander Schied, Alla Slynko

SIAM J. Financial Math., 2012

Qualitative and infinitesimal robustness of tail-dependent statistical functionals.

Volker Krätschmer, Alexander Schied, Henryk Zähle

J. Multivar. Anal., 2012

2010

Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models.

Aurélien Alfonsi, Alexander Schied

SIAM J. Financial Math., 2010

2009

Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets.

Alexander Schied, Torsten Schöneborn

Finance Stochastics, 2009

2008

Robust optimal control for a consumption-investment problem.

Alexander Schied

Math. Methods Oper. Res., 2008

2007

Optimal investments for risk- and ambiguity-averse preferences: a duality approach.

Alexander Schied

Finance Stochastics, 2007

Robust maximization of consumption with logarithmic utility.

Daniel Hernandez-Hernandez, Alexander Schied

Proceedings of the American Control Conference, 2007

2005

Optimal Investments for Robust Utility Functionals in Complete Market Models.

Alexander Schied

Math. Oper. Res., 2005

2002

Convex measures of risk and trading constraints.

Hans Föllmer, Alexander Schied

Finance Stochastics, 2002