Publications

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Author Title Type [ Year(Asc)]
2008
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.
2007
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.
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. “Robust maximization of consumption with logarithmic utility.”. In Proceedings of the 2007 American Control Conference, 1120-1123, 2007, 1120-1123.
2006
Schied, Alexander . “Risk measures and robust optimization problems”. Stoch. Models 22 (2006): 753–831.
Hernández-Hernández, Daniel , and Alexander Schied. “Robust utility maximization in a stochastic factor model”. Statist. Decisions 24 (2006): 109–125.
2005
Schied, Alexander , and Ching-Tang Wu. “Duality theory for optimal investments under model uncertainty”. Statist. Decisions 23 (2005): 199–217.
Schied, Alexander . “Optimal investments for robust utility functionals in complete market models”. Math. Oper. Res. 30 (2005): 750–764.
2004
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Studies in Mathematics. Vol. 27. Extended. Walter de Gruyter & Co., Berlin, 2004.
2002
Föllmer, Hans , and Alexander Schied. “Convex measures of risk and trading constraints”. Finance Stoch. 6 (2002): 429–447.
Föllmer, Hans , and Alexander Schied. “Robust preferences and convex measures of risk”. In Advances in finance and stochastics, 39–56. Springer, Berlin, 2002.
Föllmer, Hans , and Alexander Schied. Stochastic finance. De Gruyter Studies in Mathematics. Vol. 27. Walter de Gruyter & Co., Berlin, 2002.
Föllmer, Hans , and Alexander Schied. “Robust preferences and convex measures of risk”. In Advances in finance and stochastics. Essays in honour of Dieter Sondermann, 39–56. Springer–Verlag, 2002.
1999
Schied, Alexander . “Existence and regularity for a class of infinite-measure $(\xi,\psi,K)$-superprocesses”. J. Theoret. Probab. 12 (1999): 1011–1035.
Röckner, Michael , and Alexander Schied. “Rademacher's theorem on configuration spaces and applications”. J. Funct. Anal. 169 (1999): 325–356.
1998
Schied, Alexander . “Cramer's condition and Sanov's theorem”. Statist. Probab. Lett. 39 (1998): 55–60.
Djehiche, Boualem , and Alexander Schied. “Large deviations for hierarchical systems of interacting jump processes”. J. Theoret. Probab. 11 (1998): 1–24.

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