Mitja Stadje

According to our database, Mitja Stadje authored at least 11 papers between 2013 and 2025.

Collaborative distances:

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

2025

Time-consistent asset allocation for risk measures in a Lévy market.

Felix Fießinger, Mitja Stadje

Eur. J. Oper. Res., 2025

2024

A gradient method for high-dimensional BSDEs.

Kossi Gnameho, Mitja Stadje, Antoon Pelsser

Monte Carlo Methods Appl., 2024

2023

Robustness of Delta Hedging in a Jump-Diffusion Model.

Frank Bosserhoff, Mitja Stadje

SIAM J. Financial Math., June, 2023

2020

Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts.

Thai Nguyen, Mitja Stadje

SIAM J. Control. Optim., 2020

Two results on dynamic extensions of deviation measures.

Mitja Stadje

J. Appl. Probab., 2020

2018

Optimal Stopping Under Uncertainty in Drift and Jump Intensity.

Volker Krätschmer, Marcel Ladkau, Roger J. A. Laeven, John Schoenmakers, Mitja Stadje

Math. Oper. Res., 2018

Risk management with multiple VaR constraints.

An Chen, Thai Nguyen, Mitja Stadje

Math. Methods Oper. Res., 2018

Perfect hedging under endogenous permanent market impacts.

Masaaki Fukasawa, Mitja Stadje

Finance Stochastics, 2018

2017

On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation.

Delip Madan, Martijn Pistorius, Mitja Stadje

Finance Stochastics, 2017

2014

Robust Portfolio Choice and Indifference Valuation.

Roger J. A. Laeven, Mitja Stadje

Math. Oper. Res., 2014

2013

Entropy Coherent and Entropy Convex Measures of Risk.

Roger J. A. Laeven, Mitja Stadje

Math. Oper. Res., 2013