Alexander Schied

24 papers C 1Journal 23
YearRankTypeTitle / Venue / Authors
2025 J jnl
On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models.
SIAM J. Financial Math.
Xiyue Han, Alexander Schied
2025 J jnl
The multi-armed bandit problem under the mean-variance setting.
Eur. J. Oper. Res.
Hongda Hu, Arthur Charpentier, Mario Ghossoub, Alexander Schied
2022 J jnl
Robust Faber-Schauder approximation based on discrete observations of an antiderivative.
CoRR
Xiyue Han, Alexander Schied
2022 J jnl
Robustness in the Optimization of Risk Measures.
Oper. Res.
Paul Embrechts, Alexander Schied, Ruodu Wang
2021 J jnl
Distributional Transforms, Probability Distortions, and Their Applications.
Math. Oper. Res.
Peng Liu, Alexander Schied, Ruodu Wang
2020 J jnl
A central bank strategy for defending a currency peg.
Syst. Control. Lett.
Eyal Neuman, Alexander Schied, Chengguo Weng, Xiaole Xue
2019 J jnl
A Market Impact Game Under Transient Price Impact.
Math. Oper. Res.
Alexander Schied, Tao Zhang
2018 J jnl
Model-Free Portfolio Theory and Its Functional Master Formula.
SIAM J. Financial Math.
Alexander Schied, Leo Speiser, Iryna Voloshchenko
2017 J jnl
Domains of weak continuity of statistical functionals with a view toward robust statistics.
J. Multivar. Anal.
Volker Krätschmer, Alexander Schied, Henryk Zähle
2017 J jnl
High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact.
SIAM J. Financial Math.
Alexander Schied, Elias Strehle, Tao Zhang
2016 J jnl
Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions.
Math. Oper. Res.
Aurélien Alfonsi, Florian Klöck, Alexander Schied
2016 J jnl
Optimal portfolio liquidation in target zone models and catalytic superprocesses.
Finance Stochastics
Eyal Neuman, Alexander Schied
2014 J jnl
Comparative and qualitative robustness for law-invariant risk measures.
Finance Stochastics
Volker Krätschmer, Alexander Schied, Henryk Zähle
2013 J jnl
Capacitary Measures for Completely Monotone Kernels via Singular Control.
SIAM J. Control. Optim.
Aurélien Alfonsi, Alexander Schied
2013 J jnl
Drift dependence of optimal trade execution strategies under transient price impact.
Finance Stochastics
Christopher Lorenz, Alexander Schied
2012 J jnl
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem.
SIAM J. Financial Math.
Aurélien Alfonsi, Alexander Schied, Alla Slynko
2012 J jnl
Qualitative and infinitesimal robustness of tail-dependent statistical functionals.
J. Multivar. Anal.
Volker Krätschmer, Alexander Schied, Henryk Zähle
2010 J jnl
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models.
SIAM J. Financial Math.
Aurélien Alfonsi, Alexander Schied
2009 J jnl
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets.
Finance Stochastics
Alexander Schied, Torsten Schöneborn
2008 J jnl
Robust optimal control for a consumption-investment problem.
Math. Methods Oper. Res.
Alexander Schied
2007 J jnl
Optimal investments for risk- and ambiguity-averse preferences: a duality approach.
Finance Stochastics
Alexander Schied
2007 C conf
Robust maximization of consumption with logarithmic utility.
ACC
Daniel Hernandez-Hernandez, Alexander Schied
2005 J jnl
Optimal Investments for Robust Utility Functionals in Complete Market Models.
Math. Oper. Res.
Alexander Schied
2002 J jnl
Convex measures of risk and trading constraints.
Finance Stochastics
Hans Föllmer, Alexander Schied