45 citations · 77 across the 10 of their papers we have counts for
16 papers
The Texas Shootout under Uncertainty
Gerrit Bauch, Frank Riedel
We investigate the allocation of a co-owned company to a single owner using the Texas Shoot-Out mechanism with private valuations. We identify Knightian Uncertainty about the peer'…
Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty
Hanwu Li, Frank Riedel, Shuzhen Yang
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn…
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
Giorgio Ferrari, Hanwu Li, Frank Riedel
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow…
A decomposition of general premium principles into risk and deviation
Max Nendel, Frank Riedel, Maren Diane Schmeck
We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk mea…
A Knightian Irreversible Investment Problem
Giorgio Ferrari, Hanwu Li, Frank Riedel
In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple…
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
Salvatore Federico, Giorgio Ferrari, Frank Riedel +1
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evo…