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Stochastic finance : an introduction in discrete time
Föllmer, Hans; Schied, Alexander - 2004 - 2. rev. and extended ed.
Persistent link: https://www.econbiz.de/10004857604
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Duality theory for optimal investments under model uncertainty
Schied, Alexander; Wu, Ching-Tang - 2005
SFB 649 Discussion Paper 2005-025 Duality Theory for Optimal Investments under Model Uncertainty Alexander Schied * Ching-Tang Wu** * Technische Universität Berlin, Germany ** National University of Kaohsiung, Taiwan This research was supported by the...
Persistent link: https://www.econbiz.de/10004868801
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A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
Hernández-Hernández, Daniel; Schied, Alexander - 2006
SFB 649 Discussion Paper 2006-061 A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties Daniel Hernández–Hernández* Alexander Schied** * Centro de Investigación en Matemáticas, Guanajuato, Mexico **...
Persistent link: https://www.econbiz.de/10004875350
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Robust maximization of consumption with logarithmic utility
Hernández-Hernández, Daniel; Schied, Alexander - 2007
Persistent link: https://www.econbiz.de/10004890654
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Stochastic finance : an introduction in discrete time
Föllmer, Hans; Schied, Alexander - 2016 - Fourth revised and extended edition
Persistent link: https://www.econbiz.de/10014011565
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The perturbation method applied to a robust optimization problem with constraint
Luo, Peng; Schied, Alexander; Xue, Xiaole - In: Mathematics and financial economics 18 (2024) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10015045584
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Stochastic finance : an introduction in discrete time
Föllmer, Hans - 2011 - 3., rev. and extend. ed.
Persistent link: https://www.econbiz.de/10014007402