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Information about:
Alexander Schied

Personal Details | Affiliation | Works
This is information that was supplied by Alexander Schied in registering through RePEc. If you are Alexander Schied , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Alexander
Middle Name:
Last Name: Schied
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RePEc Short-ID: psc253

Email: [This author has chosen not to make the email address public]
Homepage: http://www.alexschied.de
Postal Address:
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Aurélien Alfonsi & Alexander Schied, 2009. "Optimal execution and absence of price manipulations in limit order book models," Working Papers hal-00397652_v2, HAL. [Downloadable!]

  2. Schied, Alexander & Schoeneborn, Torsten, 2008. "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," MPRA Paper 7105, University Library of Munich, Germany. [Downloadable!]
    Published as:

  3. Alexander Schied, 2007. "Robust Optimal Control for a Consumption-investment Problem," SFB 649 Discussion Papers SFB649DP2007-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  4. Schied, Alexander & Schöneborn, Torsten, 2007. "Optimal Portfolio Liquidation for CARA Investors," MPRA Paper 5075, University Library of Munich, Germany. [Downloadable!]

  5. Aur\'elien Alfonsi & Alexander Schied & Antje Schulz, 2007. "Optimal execution strategies in limit order books with general shape functions," Quantitative Finance Papers 0708.1756, arXiv.org, revised Sep 2007. [Downloadable!]

  6. Daniel Hernández-Hernández & Alexander Schied, 2007. "Robust Maximization of Consumption with Logarithmic Utility," SFB 649 Discussion Papers SFB649DP2007-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  7. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany. [Downloadable!]

  8. Daniel Hernandez–Hernandez & Alexander Schied, 2006. "A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties," SFB 649 Discussion Papers SFB649DP2006-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  9. Alexander Schied, 2005. "Optimal Investments for Risk- and Ambiguity-Averse Preferences: A Duality Approach," SFB 649 Discussion Papers SFB649DP2005-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006. [Downloadable!]
    Published as:

  10. Alexander Schied & Ching-Tang Wu, 2005. "Duality theory for optimal investments under model uncertainty," SFB 649 Discussion Papers SFB649DP2005-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Sep 2005. [Downloadable!]

  11. Daniel Hernandez–Hernandez & Alexander Schied, 2005. "Robust Utility Maximization in a Stochastic Factor Model," SFB 649 Discussion Papers SFB649DP2006-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006. [Downloadable!]

  12. Alexander Schied, 2004. "On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals," Quantitative Finance Papers math/0407127, arXiv.org. [Downloadable!]

  13. H. Föllmer & A. Schied, . "Convex measures of risk and trading constraints," Sonderforschungsbereich 373 2001-71, Humboldt Universitaet Berlin.
    Published as:

Articles

  1. Alexander Schied & Torsten Schöneborn, 2009. "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, vol. 13(2), pages 181-204, April. [Downloadable!] (restricted)
    Other versions:

  2. Alexander Schied, 2007. "Optimal investments for risk- and ambiguity-averse preferences: a duality approach," Finance and Stochastics, Springer, vol. 11(1), pages 107-129, January. [Downloadable!] (restricted)
    Other versions:

  3. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447. [Downloadable!] (restricted)
    Other versions:

  4. Schied, Alexander, 1998. "Cramer's condition and Sanov's theorem," Statistics & Probability Letters, Elsevier, vol. 39(1), pages 55-60, July. [Downloadable!] (restricted)

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CSE: Economics of Strategic Management (1) 2008-02-16
  2. NEP-DGE: Dynamic General Equilibrium (4) 2007-05-26 2007-06-02 2007-10-06 2008-02-16 Author is listed
  3. NEP-FIN: Finance (5) 2001-10-09 2005-10-29 2005-10-29 2006-02-12 2006-09-23 Author is listed
  4. NEP-FMK: Financial Markets (1) 2007-10-06
  5. NEP-IAS: Insurance Economics (1) 2001-10-09
  6. NEP-MST: Market Microstructure (1) 2007-11-10
  7. NEP-UPT: Utility Models & Prospect Theory (6) 2006-02-12 2006-09-23 2007-05-26 2007-06-02 2007-10-06 2008-02-16 Author is listed
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This page was last updated on 2009-11-23.

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