Mitja Stadje

12 papers Journal 12
YearRankTypeTitle / Venue / Authors
2025 J jnl
Robust Multiple Stopping - A Duality Approach.
Math. Oper. Res.
Roger J. A. Laeven, John Schoenmakers, Nikolaus Schweizer, Mitja Stadje
2025 J jnl
Time-consistent asset allocation for risk measures in a Lévy market.
Eur. J. Oper. Res.
Felix Fießinger, Mitja Stadje
2024 J jnl
A gradient method for high-dimensional BSDEs.
Monte Carlo Methods Appl.
Kossi Gnameho, Mitja Stadje, Antoon Pelsser
2023 J jnl
Robustness of Delta Hedging in a Jump-Diffusion Model.
SIAM J. Financial Math.
Frank Bosserhoff, Mitja Stadje
2020 J jnl
Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts.
SIAM J. Control. Optim.
Thai Nguyen, Mitja Stadje
2020 J jnl
Two results on dynamic extensions of deviation measures.
J. Appl. Probab.
Mitja Stadje
2018 J jnl
Optimal Stopping Under Uncertainty in Drift and Jump Intensity.
Math. Oper. Res.
Volker Krätschmer, Marcel Ladkau, Roger J. A. Laeven, John Schoenmakers, Mitja Stadje
2018 J jnl
Perfect hedging under endogenous permanent market impacts.
Finance Stochastics
Masaaki Fukasawa, Mitja Stadje
2018 J jnl
Risk management with multiple VaR constraints.
Math. Methods Oper. Res.
An Chen, Thai Nguyen, Mitja Stadje
2017 J jnl
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation.
Finance Stochastics
Delip Madan, Martijn Pistorius, Mitja Stadje
2014 J jnl
Robust Portfolio Choice and Indifference Valuation.
Math. Oper. Res.
Roger J. A. Laeven, Mitja Stadje
2013 J jnl
Entropy Coherent and Entropy Convex Measures of Risk.
Math. Oper. Res.
Roger J. A. Laeven, Mitja Stadje