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Multivariate transient price impact and matrix-valued positive definite functions
Alfonsi, Aurélien; Klöck, Florian; Schied, Alexander - In: Mathematics of operations research 41 (2016) 3, pp. 914-934
Persistent link: https://www.econbiz.de/10011520739
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Distributional transforms, probability distortions, and their applications
Liu, Peng; Schied, Alexander; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 4, pp. 1490-1512
Persistent link: https://www.econbiz.de/10012796660
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A market impact game under transient price impact
Schied, Alexander; Zhang, Tao - In: Mathematics of operations research 44 (2019) 1, pp. 102-121
Persistent link: https://www.econbiz.de/10012001072
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Optimal Investments for Robust Utility Functionals in Complete Market Models
Schied, Alexander - In: Mathematics of operations research 30 (2005) 3, pp. 750-764
Persistent link: https://www.econbiz.de/10006417228