Publications

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Author Title Type Year(Asc)
2019
Schied, Alexander, and Tao Zhang. “A market impact game under transient price impact”. Math. Oper. Res. 44 (2019): 102–121.
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.
2018
Schied, Alexander, Leo Speiser, and Iryna Voloshchenko. “Model-free portfolio theory and its functional master formula”. SIAM J. Financial Math. 9 (2018): 1074–1101.
2017
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.
Schied, Alexander, Elias Strehle, and Tao Zhang. “High-frequency limit of Nash equilibria in a market impact game with transient price impact”. SIAM J. Financial Math. 8 (2017): 589–634.
Klöck, Florian, Alexander Schied, and Yuemeng Sun. “Price manipulation in a market impact model with dark pool”. Appl. Math. Finance 24 (2017): 417–450.
Schied, Alexander, and Tao Zhang. “A state-constrained differential game arising in optimal portfolio liquidation”. Math. Finance 27 (2017): 779–802.
2016
Schied, Alexander. “On a class of generalized Takagi functions with linear pathwise quadratic variation”. J. Math. Anal. Appl. 433 (2016): 974–990.
Neuman, Eyal, and Alexander Schied. “Optimal portfolio liquidation in target zone models and catalytic superprocesses”. Finance Stoch. 20 (2016): 495–509.
Mishura, Yuliya, and Alexander Schied. “Constructing functions with prescribed pathwise quadratic variation”. J. Math. Anal. Appl. 442 (2016): 117–137.
Alfonsi, Aurélien, Florian Klöck, and Alexander Schied. “Multivariate transient price impact and matrix-valued positive definite functions”. Math. Oper. Res. 41 (2016): 914–934.
Schied, Alexander, and Iryna Voloshchenko. “Pathwise no-arbitrage in a class of delta hedging strategies”. Probab. Uncertain. Quant. Risk 1 (2016): Paper No. 3, 25.
Föllmer, Hans, and Alexander Schied. Stochastic finance. De Gruyter Graduate. De Gruyter, Berlin, 2016.
Schied, Alexander, and Iryna Voloshchenko. “The associativity rule in pathwise functional Itô calculus”. arXiv: 1605.0886 (2016).
2015
Krätschmer, Volker, Alexander Schied, and Henryk Zähle. “Quasi-Hadamard differentiability of general risk functionals and its application”. Stat. Risk Model. 32 (2015): 25–47.
2014
Krätschmer, Volker, Alexander Schied, and Henryk Zähle. “Comparative and qualitative robustness for law-invariant risk measures”. Finance Stoch. 18 (2014): 271–295.
Schied, Alexander. “Model-free CPPI”. J. Econom. Dynam. Control 40 (2014): 84–94.
2013
Alfonsi, Aurélien, and Alexander Schied. “Capacitary measures for completely monotone kernels via singular control”. SIAM J. Control Optim. 51 (2013): 1758–1780.
Schied, Alexander. “A control problem with fuel constraint and Dawson-Watanabe superprocesses”. Ann. Appl. Probab. 23 (2013): 2472–2499.
Lorenz, Christopher, and Alexander Schied. “Drift dependence of optimal trade execution strategies under transient price impact”. Finance Stoch. 17 (2013): 743–770.

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