9 citations · 10 across the 4 of their papers we have counts for
6 papers
The inf-translation for solving set minimization problems
Andreas H Hamel, Frank Heyde, Daniela Visetti
Set- and vector-valued optimization problems can be re-formulated as complete lattice-valued problems. This has several advantages, one of which is the existence of a clear-cut sol…
Robust no arbitrage and the solvability of vector-valued utility maximization problems
Andreas H Hamel, Birgit Rudloff, Zhou Zhou
A market model with assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numèrai…
Monetary Measures of Risk
Andreas H Hamel
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation resu…
Set Relations and Approximate Solutions in Set Optimization
Giovanni Crespi, Andreas H Hamel, Matteo Rocca +1
Via a family of monotone scalar functions, a preorder on a set is extended to its power set and then used to construct a hull operator and a corresponing complete lattice of sets.…
A set optimization approach to zero-sum matrix games with multi-dimensional payoffs
Andreas H. Hamel, Andreas Loehne
A new solution concept for two-player zero-sum matrix games with multi-dimensional payoff is introduced. It is based on extensions of vector orders in K-dimensional spaces to order…
Directional derivatives and subdifferentials of set-valued convex functions
Andreas H. Hamel, Carola Schrage
A new directional derivative and a new subdifferential for set-valued convex functions are constructed, and a set-valued version of the so-called 'max-formula' is proven. The new c…