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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