74 citations · 184 across the 30 of their papers we have counts for
4 papers · 1 filter
Robustness in the Optimization of Risk Measures
Paul Embrechts, Alexander Schied, Ruodu Wang
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement rel…
Nash equilibrium for risk-averse investors in a market impact game with transient price impact
Xiangge Luo, Alexander Schied
We consider a market impact game for risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finit…
On (signed) Takagi-Landsberg functions: variation, maximum, and modulus of continuity
Yuliya Mishura, Alexander Schied
We study a class of signed Takagi-Landsberg functions with Hurst parameter . We first show that the functions in admit a linear $p^{\text…
Protecting Pegged Currency Markets from Speculative Investors
Eyal Neuman, Alexander Schied
We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the…