Publications

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Author Title [ Type(Asc)] Year
Journal Article
Gatheral, Jim , Alexander Schied, and Alla Slynko. “Transient linear price impact and Fredholm integral equations”. Math. Finance 22 (2012): 445–474.
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Qualitative and infinitesimal robustness of tail-dependent statistical functionals”. J. Multivariate Anal. 103 (2012): 35–47.
Alfonsi, Aurélien , Alexander Schied, and Alla Slynko. “Order book resilience, price manipulation, and the positive portfolio problem”. SIAM J. Financial Math. 3 (2012): 511–533.
Gatheral, Jim , and Alexander Schied. “Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework”. Int. J. Theor. Appl. Finance 14 (2011): 353–368.
Alfonsi, Aurélien , and Alexander Schied. “Optimal trade execution and absence of price manipulations in limit order book models”. SIAM J. Financial Math. 1 (2010): 490–522.
Alfonsi, Aurélien , Antje Fruth, and Alexander Schied. “Optimal execution strategies in limit order books with general shape functions”. Quant. Finance 10 (2010): 143–157.
Schied, Alexander , Torsten Schöneborn, and Michael Tehranchi. “Optimal basket liquidation for CARA investors is deterministic”. Appl. Math. Finance 17 (2010): 471–489.
Schied, Alexander , and Torsten Schöneborn. “Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets”. Finance Stoch. 13 (2009): 181–204.
Schied, Alexander . “Robust optimal control for a consumption-investment problem”. Math. Methods Oper. Res. 67 (2008): 1–20.
Schied, Alexander , and Mitja Stadje. “Robustness of delta hedging for path-dependent options in local volatility models”. J. Appl. Probab. 44 (2007): 865–879.
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 utility maximization in a stochastic factor model”. Statist. Decisions 24 (2006): 109–125.
Schied, Alexander . “Risk measures and robust optimization problems”. Stoch. Models 22 (2006): 753–831.
Schied, Alexander . “Optimal investments for robust utility functionals in complete market models”. Math. Oper. Res. 30 (2005): 750–764.
Schied, Alexander , and Ching-Tang Wu. “Duality theory for optimal investments under model uncertainty”. Statist. Decisions 23 (2005): 199–217.
Föllmer, Hans , and Alexander Schied. “Convex measures of risk and trading constraints”. Finance Stoch. 6 (2002): 429–447.
Röckner, Michael , and Alexander Schied. “Rademacher's theorem on configuration spaces and applications”. J. Funct. Anal. 169 (1999): 325–356.

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