Publications

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Author [ Title(Desc)] Type Year
O
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 . “Optimal investments for robust utility functionals in complete market models”. Math. Oper. Res. 30 (2005): 750–764.
Neuman, Eyal , and Alexander Schied. “Optimal portfolio liquidation in target zone models and catalytic superprocesses”. Finance Stoch. 20 (2016): 495–509.
Schied, Alexander , and Torsten Schöneborn. “Optimal portfolio liquidation: market impact models and optimal control”. In MFO Oberwolfach Reports, 5:192-194, 2008, 5, 192-194.
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.
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 , Alexander Schied, and Alla Slynko. “Order book resilience, price manipulation, and the positive portfolio problem”. SIAM J. Financial Math. 3 (2012): 511–533.
P
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.
Luo, Peng , Allexander Schied, and Xiaole Xue. “ The perturbation method applied to a robust optimization problem with constraint”. Mathematics and Financial Economics (Accepted). http://arxiv.org/abs/2402.08260.
Klöck, Florian , Alexander Schied, and Yuemeng Sun. “Price manipulation in a market impact model with dark pool”. Appl. Math. Finance 24 (2017): 417–450.
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.
Föllmer, Hans , and Alexander Schied. “Probabilistic aspects of finance”. Bernoulli 19 (2013): 1306–1326.
Neuman, Eyal , and Alexander Schied. “Protecting Pegged Currency Markets from Speculative Investors”. Mathematical Finance 32, no. 1 (2022): 405-420. http://dx.doi.org/10.1111/mafi.12324.
Schied, Alexander , and Zhenyuan Zhang. “On the $p$th variation of a class of fractal functions”. Proc. Amer. Math. Soc. 148 (2020): 5399–5412.
Q
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Qualitative and infinitesimal robustness of tail-dependent statistical functionals”. J. Multivariate Anal. 103 (2012): 35–47.
Krätschmer, Volker , Alexander Schied, and Henryk Zähle. “Quasi-Hadamard differentiability of general risk functionals and its application”. Stat. Risk Model. 32 (2015): 25–47.
R
Röckner, Michael , and Alexander Schied. “Rademacher's theorem on configuration spaces and applications”. J. Funct. Anal. 169 (1999): 325–356.
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 . “Risk measures and robust optimization problems”. Stoch. Models 22 (2006): 753–831.

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