Publications

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Author Title [ Type(Desc)] Year
Journal Article
Alfonsi, Aurélien , Antje Fruth, and Alexander Schied. “Optimal execution strategies in limit order books with general shape functions”. Quant. Finance 10 (2010): 143–157.
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.
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.
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.
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.
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.
Föllmer, Hans , and Alexander Schied. “Convex measures of risk and trading constraints”. Finance Stoch. 6 (2002): 429–447.
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.
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.
Schied, Alexander . “Geometric aspects of Fleming-Viot and Dawson-Watanabe processes”. Ann. Probab. 25 (1997): 1160–1179.
Schied, Alexander . “Moderate deviations and functional LIL for super-Brownian motion”. Stochastic Process. Appl. 72 (1997): 11–25.

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