Schied, Alexander
- Optimal execution strategies in limit order books with general shape functions
2007/08/13 by Alfonsi, Aurélien, Fruth, Antje, Schied, Alexander · 5 citations
#FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Trading and Market Microstructure (q-fin.TR)
- Comparative and qualitative robustness for law-invariant risk measures
2012/04/11 by Volker Krätschmer, Alexander Schied, Krätschmer, Volker +3 · 4 citations
Decision Sciences · Economics, Econometrics and Finance · #28A33 #60B10 #60F05 #62G05 #62G35 #91B30 #Credit Risk and Financial Regulations #FOS: Economics and business #FOS: Mathematics #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Statistics Theory (math.ST) #Stochastic processes and financial applications
- Robustness in the Optimization of Risk Measures
2018/09/25 by Embrechts, Paul, Schied, Alexander, Wang, Ruodu · 3 citations
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR) #Risk Management (q-fin.RM)
- Multivariate transient price impact and matrix-valued positive definite functions
2013/10/16 by Alfonsi, Aurélien, Schied, Alexander, Klöck, Florian · 2 citations
#42A82 #90C20 #91G10 #91G80 #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Trading and Market Microstructure (q-fin.TR)
- Price manipulation in a market impact model with dark pool
2012/05/17 by Florian Klöck, Alexander Schied, Klöck, Florian +3 · 1 citation
Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
- A market impact game under transient price impact
2013/05/17 by Schied, Alexander, Zhang, Tao · 1 citation
#FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
- Optimal Portfolio Liquidation in Target Zone Models and Catalytic\n Superprocesses
2015/04/22 by Eyal Neuman, Neuman, Eyal, Alexander Schied +1 · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Economic theories and models #Complex Systems and Time Series Analysis
- Model-free portfolio theory and its functional master formula
2016/06/10 by Schied, Alexander, Speiser, Leo, Voloshchenko, Iryna · 1 citation
#FOS: Economics and business #Portfolio Management (q-fin.PM)
- The roughness exponent and its model-free estimation
2021/11/19 by Xiyue Han, Han, Xiyue, Alexander Schied +1 · 1 citation
Economics, Econometrics and Finance · #26A30 #60F15 #60G22 #60G46 #62G05 #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistical Finance (q-fin.ST) #Statistics Theory (math.ST) #Stochastic processes and financial applications
- Multiarmed Bandits Problem Under the Mean-Variance Setting
2022/12/18 by Hongda Hu, Hu, Hongda, Arthur Charpentier +5 · 1 citation
Computer Science · Decision Sciences · #Advanced Bandit Algorithms Research #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Machine Learning and Algorithms #Optimization and Control (math.OC) #Reinforcement Learning in Robotics