Publications

Search
[ Author(Asc)] Title Type Year
L
Luo, Xiangge , and Alexander Schied. “Nash equilibrium for risk-averse investors in a market impact game: finite and infinite time horizons”. Market Microstructure and Liquidity 5, no. 01n04 (2019): 2050001. https://arxiv.org/1807.03813.
Lorenz, Christopher , and Alexander Schied. “Drift dependence of optimal trade execution strategies under transient price impact”. Finance Stoch. 17 (2013): 743–770.
Liu, Peng , Alexander Schied, and Ruodu Wang. “Distributional transforms, probability distortions, and their applications”. Mathematics of Operations Research 46, no. 4 (2021): 1490-1512. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3419388.
K
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Domains of weak continuity of statistical functionals with a view toward robust statistics”. J. Multivariate Anal. 158 (2017): 1–19.
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Quasi-Hadamard differentiability of general risk functionals and its application”. Stat. Risk Model. 32 (2015): 25–47.
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Comparative and qualitative robustness for law-invariant risk measures”. Finance Stoch. 18 (2014): 271–295.
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Qualitative and infinitesimal robustness of tail-dependent statistical functionals”. J. Multivariate Anal. 103 (2012): 35–47.
Klöck, Florian , Alexander Schied, and Yuemeng Sun. “Price manipulation in a market impact model with dark pool”. Appl. Math. Finance 24 (2017): 417–450.
H
Hu, Hongda , Arthur Charpentier, Mario Ghossoub, and Alexander Schied. “Multiarmed bandits problem under the mean-variance setting” (Submitted). https://arxiv.org/abs/2212.09192.
Hernández-Hernández, Daniel , and Alexander Schied. “A control approach to robust utility maximization with logarithmic utility and time-consistent penalties”. Stochastic Process. Appl. 117 (2007): 980–1000.
Hernández-Hernández, Daniel , and Alexander Schied. “Robust maximization of consumption with logarithmic utility.”. In Proceedings of the 2007 American Control Conference, 1120-1123, 2007, 1120-1123.
Hernández-Hernández, Daniel , and Alexander Schied. “Robust utility maximization in a stochastic factor model”. Statist. Decisions 24 (2006): 109–125.
Han, Xiyue , and Alexander Schied. “Step roots of Littlewood polynomials and the extrema of functions in the Takagi class”. Mathematical Proceedings of the Cambridge Philosophical Society 173 (2022): 591–618. https://www.doi.org/10.1017/S0305004122000020.
Han, Xiyue , Alexander Schied, and Zhenyuan Zhang. “A limit theorem for Bernoulli convolutions and the Φ-variation of functions in the Takagi class.”. Journal of Theoretical Probability 35 (2022): 2853–2878. https://arxiv.org/abs/2102.02745.
Han, Xiyue , Alexander Schied, and Zhenyuan Zhang. “A probabilistic approach to the Φ-variation of classical fractal functions with critical roughness”. Statist. Probab. Lett. 168 (2021): 108920, 6.
G
Gatheral, Jim , and Alexander Schied. “Dynamical models for market impact and algorithms for optimal order execution.”. In Handbook on Systemic Risk, 579–602. Cambridge University Press, 2013.

Pages