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~subject:"Mathematische Optimierung"
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Mathematische Optimierung
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Risk measure
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Set-valued risk measures
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algorithms
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set-valued risk measures
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vector optimization
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Attainment in vertices
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Convex duality
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Duales Optimierungsproblem
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Hamel, Andreas
3
Löhne, Andreas
3
Rudloff, Birgit
3
Heyde, Frank
2
Calder-Wang, Sophie
1
Crespi, Giovanni Paolo
1
Kováčová, Gabriela
1
Neyer, Ulrike
1
Rocca, Matteo
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Schrage, Carola
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Tammer, Christiane
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Ulus, Firdevs
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Mathematical methods of operations research
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
International journal of theoretical and applied finance
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International review of finance
1
Mathematics and financial economics
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Mathematics of operations research
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ECONIS (ZBW)
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1
Credit default swaps and the stability of the banking sector
Heyde, Frank
;
Neyer, Ulrike
- In:
International review of finance
10
(
2010
)
1
,
pp. 27-61
Persistent link: https://www.econbiz.de/10003970493
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2
Set-valued duality theory for multiple objective linear programs and application to mathematical finance
Heyde, Frank
;
Löhne, Andreas
;
Tammer, Christiane
- In:
Mathematical methods of operations research
69
(
2009
)
1
,
pp. 159-179
Persistent link: https://www.econbiz.de/10003858104
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3
Set relations via families of scalar functions and approximate solutions in set optimization
Crespi, Giovanni Paolo
;
Hamel, Andreas
;
Rocca, Matteo
; …
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 361-381
Persistent link: https://www.econbiz.de/10012498199
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4
A set optimization approach to zero-sum matrix games with multi-dimensional payoffs
Hamel, Andreas
;
Löhne, Andreas
- In:
Mathematical methods of operations research
88
(
2018
)
3
,
pp. 369-397
Persistent link: https://www.econbiz.de/10011949742
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5
A set optimization approach to utility maximization under transaction costs
Hamel, Andreas
;
Calder-Wang, Sophie
- In:
Decisions in economics and finance : DEF ; a journal of …
40
(
2017
)
1/2
,
pp. 257-275
Persistent link: https://www.econbiz.de/10011997740
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6
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas
;
Rudloff, Birgit
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10010363905
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7
Time consistency of the mean-risk problem
Kováčová, Gabriela
;
Rudloff, Birgit
- In:
Operations research
69
(
2021
)
4
,
pp. 1100-1117
Persistent link: https://www.econbiz.de/10012625134
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8
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization
Rudloff, Birgit
;
Ulus, Firdevs
- In:
Mathematics and financial economics
15
(
2021
)
2
,
pp. 397-430
Persistent link: https://www.econbiz.de/10012500037
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