# Johannes M. Schumacher

## Personal Details

First Name: | Johannes |

Middle Name: | M. |

Last Name: | Schumacher |

Suffix: | |

RePEc Short-ID: | psc259 |

[This author has chosen not to make the email address public] | |

## Affiliation

### Afdeling Kwantitatieve Economie

Faculteit Economie en Bedrijfskunde

Universiteit van Amsterdam

Amsterdam, Netherlandshttp://www.uva.nl/over-de-uva/organisatie/organogram/content/faculteiten/faculteit-economie-en-bedrijfskunde/afdeling-kwantitatieve-economie-ke/afdeling-kwantitatieve-economie-ke.html

: +31 20 525 4217

+31 20 525 4349

Roetersstraat 11, NL-1018 WB Amsterdam

RePEc:edi:keuvanl (more details at EDIRC)

## Research output

Jump to: Working papers Articles### Working papers

- Kleinow, Torsten & Schumacher, Hans, 2017.
"
**Financial fairness and conditional indexation**," Other publications TiSEM 8beebbc8-47f4-4063-a099-e, Tilburg University, School of Economics and Management. - Roorda, B. & Schumacher, Hans, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Other publications TiSEM 132bdd0b-40dd-44bd-ab64-c, Tilburg University, School of Economics and Management.- Berend Roorda & Johannes M. Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January. - Berend Roorda & Johannes Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.

- Berend Roorda & Johannes M. Schumacher, 2016.
"
- Camlibel, M.K. & Schumacher, Hans, 2016.
"
**Linear passive systems and maximal monotone mappings**," Other publications TiSEM de20953c-62e8-46a6-8af4-7, Tilburg University, School of Economics and Management. - Roorda, B. & Schumacher, J.M., 2013.
"
**Membership conditions for consistent families of monetary valuations**," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.- Roorda Berend & Schumacher Hans, 2013.
"
**Membership conditions for consistent families of monetary valuations**," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.

- Roorda Berend & Schumacher Hans, 2013.
"
- Reddy, P.V. & Schumacher, J.M. & Engwerda, J.C., 2012.
"
**Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model**," Discussion Paper 2012-001, Tilburg University, Center for Economic Research. - Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M. & Brogliato, B., 2011.
"
**Observer-based control of linear complementarity systems**," Other publications TiSEM 38b3325c-4d33-4c2f-92f8-9, Tilburg University, School of Economics and Management. - Roorda, B. & Schumacher, J.M., 2011.
"
**The strictest common relaxation of a family of risk measures**," Other publications TiSEM fe50549a-ca7b-4a03-9318-1, Tilburg University, School of Economics and Management.- Roorda, Berend & Schumacher, J.M., 2011.
"
**The strictest common relaxation of a family of risk measures**," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 29-34, January.

- Roorda, Berend & Schumacher, J.M., 2011.
"
- Wuerth, A.M. & Schumacher, J.M., 2011.
"
**Risk aversion for nonsmooth utility functions**," Other publications TiSEM d948cfad-5e83-46ce-ae72-6, Tilburg University, School of Economics and Management.- Würth, Andreas & Schumacher, J.M., 2011.
"
**Risk aversion for nonsmooth utility functions**," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 109-128, March.

- Würth, Andreas & Schumacher, J.M., 2011.
"
- Schumacher, J.M. & Oosterlee, C.W. & In 't Hout, K.J., 2011.
"
**Actuariële wetenschappen en financiële wiskunde : op weg naar convergentie?**," Other publications TiSEM f47b3a85-cc1d-45b8-a9ba-0, Tilburg University, School of Economics and Management. - Berridge, S.J. & Schumacher, J.M., 2004.
"
**Pricing High-Dimensional American Options Using Local Consistency Conditions**," Discussion Paper 2004-19, Tilburg University, Center for Economic Research. - Berridge, S.J. & Schumacher, J.M., 2004.
"
**Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options**," Discussion Paper 2004-20, Tilburg University, Center for Economic Research. - Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003.
"
**Testing Expected Shortfall Models for Derivative Positions**," Discussion Paper 2003-24, Tilburg University, Center for Economic Research. - van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2003.
"
**Robust equilibria in indefinite linear-quadratic differential games**," Other publications TiSEM 4a566f74-cf19-4cc9-852a-5, Tilburg University, School of Economics and Management. - van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2003.
"
**An equivalence result in linear-quadratic theory**," Other publications TiSEM d65171ce-101d-4204-a1ec-f, Tilburg University, School of Economics and Management. - Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M., 2002.
"
**On the dynamic analysis of piecewise-linear networks**," Other publications TiSEM 5f3ee4aa-5cfb-4b0f-96c8-b, Tilburg University, School of Economics and Management. - Berridge, S.J. & Schumacher, J.M., 2002.
"
**An Irregular Grid Approach for Pricing High Dimensional American Options**," Discussion Paper 2002-99, Tilburg University, Center for Economic Research.- Berridge, S.J. & Schumacher, J.M., 2004.
"
**An Irregular Grid Approach for Pricing High-Dimensional American Options**," Discussion Paper 2004-18, Tilburg University, Center for Economic Research.

- Berridge, S.J. & Schumacher, J.M., 2004.
"
- Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2002.
"
**Consistency of a time-stepping method for a class of piecewise-linear networks**," Other publications TiSEM 93af5e10-23ee-41bc-b3fc-5, Tilburg University, School of Economics and Management. - Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002.
"
**Model Risk and Regulatory Capital**," Discussion Paper 2002-27, Tilburg University, Center for Economic Research. - van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2000.
"
**A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances**," Discussion Paper 2000-38, Tilburg University, Center for Economic Research. - Engwerda, J.C. & van den Broek, W.A. & Schumacher, J.M., 2000.
"
**Feedback Nash equilibria in uncertain infinite time horizon differential games**," Other publications TiSEM c431993d-ee67-4a93-9e2d-f, Tilburg University, School of Economics and Management. - Heemels, W.P.M.H. & Schumacher, J.M. & Weiland, S., 2000.
"
**Linear complimentarity systems**," Other publications TiSEM 6cdf0170-6ea9-4fdc-8cfa-6, Tilburg University, School of Economics and Management. - Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2000.
"
**Well-posedness of a class of linear networks with ideal diodes**," Other publications TiSEM 4d0e45aa-e1b0-4329-b387-f, Tilburg University, School of Economics and Management. - van den Broek, W.A. & Schumacher, J.M., 1999.
"
**Disturbance Decoupling in Dynamic Games**," Discussion Paper 1999-67, Tilburg University, Center for Economic Research. - Roorda, B. & Engwerda, J.C. & Schumacher, J.M., 1999.
"
**Performance of Delta-hedging strategies in interval models - A robustness study**," Discussion Paper 1999-05, Tilburg University, Center for Economic Research. - Rosenthal, J. & Schumacher, J.M., 1997.
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**Realization by inspection**," Other publications TiSEM 28d79c0f-cd32-46ac-81e8-7, Tilburg University, School of Economics and Management. - Helmke, U. & Rosenthal, J. & Schumacher, J.M., 1997.
"
**A controlability test for general first-order representations**," Other publications TiSEM c1d2ef96-26c2-4c77-95bd-3, Tilburg University, School of Economics and Management. - Ravi, M.S. & Rosenthal, J. & Schumacher, J.M., 1997.
"
**Homogeneous behaviors**," Other publications TiSEM 2b7d087c-568b-4013-a1a1-5, Tilburg University, School of Economics and Management. - Cevik, M.K.K. & Schumacher, J.M., 1997.
"
**Regulation as an interpolation problem**," Other publications TiSEM 48ef95bf-86dd-4932-860f-b, Tilburg University, School of Economics and Management. - van der Schaft, A.J. & Schumacher, J.M., 1996.
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**The complementary-slackness class of hybrid systems**," Other publications TiSEM fdbd7937-089c-4262-a7a9-2, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1996.
"
**[Review of the book H [infinity]-Control for Distributed Parameter Systems: A State-space Approach, B. van Keulen, 1993]**," Other publications TiSEM eb6cd3c9-cfa4-45c9-a563-1, Tilburg University, School of Economics and Management. - Rosenthal, J. & Schumacher, J.M. & York, E.V., 1996.
"
**On behaviors and convolutional codes**," Other publications TiSEM 1c23f564-7bce-463e-898b-6, Tilburg University, School of Economics and Management. - Geerts, A.H.W. & Schumacher, J.M., 1996.
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**Impulsive-Smooth Behavior in Multimode Systems. Part II : Minimality and Equivalence**," Other publications TiSEM 89d257b6-6e69-4712-8554-5, Tilburg University, School of Economics and Management. - Geerts, A.H.W. & Schumacher, J.M., 1996.
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**Impulsive-Smooth Behavior in Multimode Systems. Part I : State-Space and Polynomial Representations**," Other publications TiSEM feafa954-c509-4955-88f2-1, Tilburg University, School of Economics and Management. - Cevik, M.K.K. & Schumacher, J.M., 1995.
"
**The regulator problem with robust stability**," Other publications TiSEM cf41c9f4-ab93-41e9-a76a-c, Tilburg University, School of Economics and Management. - Rosenthal, J. & Schumacher, J.M. & Willems, J.C., 1995.
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**Generic eigenvalue assignment by memoryless real output feedback**," Other publications TiSEM 971c0413-f039-4eca-91a3-0, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1994.
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**[Review of the book Identification and Stochastic Adaptive Control, H.F. Chen & L. Guo, 1991]**," Other publications TiSEM c09b5619-061c-46d7-9db7-e, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1994.
"
**[Review of the book Controlled and Conditioned Invariants in Linear System Theory, G. Basile & G. Marro, 1992]**," Other publications TiSEM d93ed1b3-98f6-437c-8e65-5, Tilburg University, School of Economics and Management. - de Does, J. & Schumacher, J.M., 1994.
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**Interpretations of the gap topology : a survey**," Other publications TiSEM 13e6ef2b-e384-4284-8836-0, Tilburg University, School of Economics and Management. - de Does, J. & Schumacher, J.M., 1994.
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**Continuity of singular perturbations in the graph topology**," Other publications TiSEM 45fc5e97-e84d-4eb4-a8cd-0, Tilburg University, School of Economics and Management. - Weeren, A.J.T.M. & Schumacher, J.M. & Engwerda, J.C., 1994.
"
**Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games : The two player case**," Research Memorandum FEW 634, Tilburg University, School of Economics and Management. - Kuijper, M. & Schumacher, J.M., 1993.
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**Input/output structure of linear differential/algebraic systems**," Other publications TiSEM a20b7428-f967-455a-b80f-8, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1993.
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**Information and entropy**," Other publications TiSEM 2b459f74-9bf9-42fc-80ec-1, Tilburg University, School of Economics and Management. - Kuijper, M. & Schumacher, J.M., 1992.
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**Realization and partial fractions**," Other publications TiSEM 5243353a-8367-4125-be19-d, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1992.
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**A pointwise criterion for controller robustness**," Other publications TiSEM e81ae511-9b41-49f5-9836-3, Tilburg University, School of Economics and Management. - Kuijper, M. & Schumacher, J.M., 1991.
"
**Minimality of descriptor representations under external equivalence**," Other publications TiSEM 47bb4ea8-690e-4693-ac2d-6, Tilburg University, School of Economics and Management. - Kuijper, M. & Schumacher, J.M., 1990.
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**Realization of autoregressive equations in pencil and descriptor form**," Other publications TiSEM 3c164c8f-c092-448d-8ae7-9, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1990.
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**System-theoretic trends in econometrics**," Research Memorandum FEW 432, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1990.
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**State representations of linear systems with output constraints**," Other publications TiSEM 2e271918-3b8f-483c-9886-5, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1988.
"
**Transformations of linear systems under external equivalence**," Other publications TiSEM f42a7b5c-91c0-4082-b9d2-0, Tilburg University, School of Economics and Management. - Bontsema, J. & Curtain, R.F. & Schumacher, J.M., 1988.
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**Robust control of flexible structures : a case study**," Other publications TiSEM 2b421a15-9f96-4d74-b219-3, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1988.
"
**Discrete events : Perspectives from system theory**," Research Memorandum FEW 354, Tilburg University, School of Economics and Management.- Schumacher, J.M., 1989.
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**Discrete events : perspectives from system theory**," Other publications TiSEM 73212e22-c8ad-4a9d-b63c-c, Tilburg University, School of Economics and Management.

- Schumacher, J.M., 1989.
"
- Nijmeijer, H. & Schumacher, J.M., 1986.
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**The regular local noninteracting control problem for nonlinear control systems**," Other publications TiSEM 0edd6c44-ae1e-49aa-a0e5-7, Tilburg University, School of Economics and Management. - Nijmeijer, H. & Schumacher, J.M., 1985.
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**On the inherent integration structure of nonlinear systems**," Other publications TiSEM e30232ce-044f-4ec1-a4e5-e, Tilburg University, School of Economics and Management. - Nijmeijer, H. & Schumacher, J.M., 1985.
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**Zeros at infinity for affine nonlinear control systems**," Other publications TiSEM 8c161363-55ac-4a98-8728-2, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1985.
"
**A geometric approach to the singular filtering problem**," Other publications TiSEM 0e407bf8-8686-465d-9c67-4, Tilburg University, School of Economics and Management. - Aling, H. & Schumacher, J.M., 1984.
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**A nine-fold canonical decomposition for linear systems**," Other publications TiSEM 739ff20f-7b60-4ead-a966-8, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1984.
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**Almost stabilizability subspaces and high gain feedback**," Other publications TiSEM 3ff16bef-f062-4817-b822-8, Tilburg University, School of Economics and Management. - Nijmeijer, N. & Schumacher, J.M., 1984.
"
**Les systèmes non linéaires à plus d'entrées que de sorties ne sont pas inversibles**," Other publications TiSEM c632470d-d620-4ff8-9a74-0, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1983.
"
**The role of the dissipation matrix in singular optimal control**," Other publications TiSEM c643d99a-ddb6-4f6c-a4d6-f, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1983.
"
**On the structure of strongly controllable systems**," Other publications TiSEM 91b9b9c7-bdfa-441d-9766-2, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1983.
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**Finite-dimensional regulators for a class of infinite-dimensional systems**," Other publications TiSEM 4fdcad40-715b-434f-8917-a, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1983.
"
**The algebraic regulator problem from the state-space point of view**," Other publications TiSEM 5779f1b9-6092-4e3e-8daf-6, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1983.
"
**A direct approach to compensator design for distributed parameter systems**," Other publications TiSEM 64c07d51-0d72-41c5-877e-7, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1983.
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**On a conjecture of Basile and Marro**," Other publications TiSEM c55efa93-f6f8-401c-98bb-6, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1983.
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**Algebraic characterizations of almost invariance**," Other publications TiSEM ee1735b8-04e9-48f2-8e64-b, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1982.
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**Regulator synthesis using (C,A,B)-pairs**," Other publications TiSEM c3a99310-ebb7-4868-8af3-2, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1980.
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**On the minimal stable observer problem**," Other publications TiSEM e16b7a80-04dc-407d-97e8-f, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1980.
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**A complement on pole placement**," Other publications TiSEM b2551d06-13c0-49ba-857d-8, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1980.
"
**Compensator synthesis using (C,A,B)-pairs**," Other publications TiSEM 7388dba7-dc63-42d5-bdfe-3, Tilburg University, School of Economics and Management. - van Harten, A. & Schumacher, J.M., 1980.
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**Well-posedness of some evolution problems in the theory of automatic feed-back control for systems with distributed parameters**," Other publications TiSEM 8d6195e0-d682-4256-a2fc-3, Tilburg University, School of Economics and Management.

### Articles

- Bao, Hailong & Ponds, Eduard H.M. & Schumacher, Johannes M., 2017.
"
**Multi-period risk sharing under financial fairness**," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 49-66. - Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2017.
"
**The composite iteration algorithm for finding efficient and financially fair risk-sharing rules**," Journal of Mathematical Economics, Elsevier, vol. 72(C), pages 122-133. - Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2016.
"
**Cooperative investment in incomplete markets under financial fairness**," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 394-406. - Berend Roorda & Johannes Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.- Berend Roorda & Johannes M. Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.

- Roorda, B. & Schumacher, Hans, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Other publications TiSEM 132bdd0b-40dd-44bd-ab64-c, Tilburg University, School of Economics and Management.

- Berend Roorda & Johannes M. Schumacher, 2016.
"
- Roorda Berend & Schumacher Hans, 2013.
"
**Membership conditions for consistent families of monetary valuations**," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.- Roorda, B. & Schumacher, J.M., 2013.
"
**Membership conditions for consistent families of monetary valuations**," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.

- Roorda, B. & Schumacher, J.M., 2013.
"
- Roorda, Berend & Schumacher, J.M., 2011.
"
**The strictest common relaxation of a family of risk measures**," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 29-34, January.- Roorda, B. & Schumacher, J.M., 2011.
"
**The strictest common relaxation of a family of risk measures**," Other publications TiSEM fe50549a-ca7b-4a03-9318-1, Tilburg University, School of Economics and Management.

- Roorda, B. & Schumacher, J.M., 2011.
"
- Würth, Andreas & Schumacher, J.M., 2011.
"
**Risk aversion for nonsmooth utility functions**," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 109-128, March.- Wuerth, A.M. & Schumacher, J.M., 2011.
"
**Risk aversion for nonsmooth utility functions**," Other publications TiSEM d948cfad-5e83-46ce-ae72-6, Tilburg University, School of Economics and Management.

- Wuerth, A.M. & Schumacher, J.M., 2011.
"
- Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010.
"
**Model risk and capital reserves**," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January. - Dai, Renxiang & Schumacher, J.M., 2009.
"
**Welfare analysis of conditional indexation schemes from a two-reference-point perspective**," Journal of Pension Economics and Finance, Cambridge University Press, vol. 8(03), pages 321-350, July. - Roorda, Berend & Schumacher, J.M., 2007.
"
**Time consistency conditions for acceptability measures, with an application to Tail Value at Risk**," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March. - Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005.
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**Coherent Acceptability Measures In Multiperiod Models**," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612. - Weeren, A. J. T. M. & Schumacher, J. M. & Engwerda, J. C., 1999.
"
**Strategic behavior and noncooperative hierarchical control**," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 641-669, February.

## Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.### Working papers

- Kleinow, Torsten & Schumacher, Hans, 2017.
"
**Financial fairness and conditional indexation**," Other publications TiSEM 8beebbc8-47f4-4063-a099-e, Tilburg University, School of Economics and Management.Cited by:

- Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J., 2017.
"
**Sustainability of participation in collective pension schemes: An option pricing approach**," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 182-196. - Bao, Hailong & Ponds, Eduard H.M. & Schumacher, Johannes M., 2017.
"
**Multi-period risk sharing under financial fairness**," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 49-66.

- Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J., 2017.
"
- Roorda, B. & Schumacher, Hans, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Other publications TiSEM 132bdd0b-40dd-44bd-ab64-c, Tilburg University, School of Economics and Management.- Berend Roorda & Johannes M. Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January. - Berend Roorda & Johannes Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.

Cited by:

- Roorda, B. & Schumacher, J.M., 2013.
"
**Membership conditions for consistent families of monetary valuations**," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.- Roorda Berend & Schumacher Hans, 2013.
"
**Membership conditions for consistent families of monetary valuations**," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.

- Roorda Berend & Schumacher Hans, 2013.
"

- Berend Roorda & Johannes M. Schumacher, 2016.
"
- Roorda, B. & Schumacher, J.M., 2013.
"
**Membership conditions for consistent families of monetary valuations**," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.- Roorda Berend & Schumacher Hans, 2013.
"
**Membership conditions for consistent families of monetary valuations**," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.

Cited by:

- Berend Roorda & Johannes Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.- Berend Roorda & Johannes M. Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January. - Roorda, B. & Schumacher, Hans, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Other publications TiSEM 132bdd0b-40dd-44bd-ab64-c, Tilburg University, School of Economics and Management.

- Berend Roorda & Johannes M. Schumacher, 2016.
"

- Roorda Berend & Schumacher Hans, 2013.
"
- Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M. & Brogliato, B., 2011.
"
**Observer-based control of linear complementarity systems**," Other publications TiSEM 38b3325c-4d33-4c2f-92f8-9, Tilburg University, School of Economics and Management.Cited by:

- S. Mohsen Miri & Sohrab Effati, 2017.
"
**Optimal Control Formulation for Complementarity Dynamical Systems**," Journal of Optimization Theory and Applications, Springer, vol. 175(2), pages 356-372, November.

- S. Mohsen Miri & Sohrab Effati, 2017.
"
- Berridge, S.J. & Schumacher, J.M., 2004.
"
**Pricing High-Dimensional American Options Using Local Consistency Conditions**," Discussion Paper 2004-19, Tilburg University, Center for Economic Research.Cited by:

- Marjon Ruijter & Kees Oosterlee, 2012.
"
**Two-dimensional Fourier cosine series expansion method for pricing financial options**," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.

- Marjon Ruijter & Kees Oosterlee, 2012.
"
- van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2003.
"
**Robust equilibria in indefinite linear-quadratic differential games**," Other publications TiSEM 4a566f74-cf19-4cc9-852a-5, Tilburg University, School of Economics and Management.Cited by:

- Engwerda, J.C. & Salmah, Y., 2010.
"
**Necessary and Sufficient Conditions for Feedback Nash Equilibria for the Affine Quadratic Differential**," Discussion Paper 2010-78, Tilburg University, Center for Economic Research. - J. C. Engwerda & Salmah, 2013.
"
**Necessary and Sufficient Conditions for Feedback Nash Equilibria for the Affine-Quadratic Differential Game**," Journal of Optimization Theory and Applications, Springer, vol. 157(2), pages 552-563, May. - Engwerda, J.C., 2004.
"
**A numerical algorithm to find soft-constrained Nash equilibria in scalar LQ-games**," Other publications TiSEM 7a3232f4-ef03-4cc7-a438-e, Tilburg University, School of Economics and Management.- Engwerda, J.C., 2005.
"
**A Numerical Algorithm to find Soft-Constrained Nash Equilibria in Scalar LQ-Games**," Discussion Paper 2005-33, Tilburg University, Center for Economic Research.

- Engwerda, J.C., 2005.
"
- Yiyong Cai & Warwick J. McKibbin, 2013.
"
**Uncertainty and International Climate Change Negotiations**," CAMA Working Papers 2013-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.- Yiyong Cai & Warwick McKibbin, 2015.
"
**Uncertainty and International Climate Change Negotiations**," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(1), pages 101-115, March.

- Yiyong Cai & Warwick McKibbin, 2015.
"
- Engwerda, J.C. & Salmah, Y., 2010.
"
**Feedback Nash Equilibria for Linear Quadratic Descriptor Differential Games**," Discussion Paper 2010-79, Tilburg University, Center for Economic Research. - Engwerda, J.C., 2005.
"
**Uncertainty in a Fishery Management Game**," Discussion Paper 2005-36, Tilburg University, Center for Economic Research. - Engwerda, J.C., 2012.
"
**Prospects of Tools from Differential Games in the Study Of Macroeconomics of Climate Change**," Discussion Paper 2012-045, Tilburg University, Center for Economic Research. - Engwerda, Jacob, 2017.
"
**Stabilization of an Uncertain Simple Fishery Management Game**," Discussion Paper 2017-031, Tilburg University, Center for Economic Research. - Engwerda, J.C., 2013.
"
**A Numerical Algorithm to find All Scalar Feedback Nash Equilibria**," Discussion Paper 2013-050, Tilburg University, Center for Economic Research.

- Engwerda, J.C. & Salmah, Y., 2010.
"
- van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2003.
"
**An equivalence result in linear-quadratic theory**," Other publications TiSEM d65171ce-101d-4204-a1ec-f, Tilburg University, School of Economics and Management.Cited by:

- Engwerda, J.C. & Salmah, Y. & Wijayanti, I.E., 2008.
"
**The Optimal Linear Quadratic Feedback State Regulator Problem for Index One Descriptor Systems**," Discussion Paper 2008-90, Tilburg University, Center for Economic Research. - Engwerda, J.C. & Weeren, A.J.T.M., 2008.
"
**A result on output feedback linear quadratic control**," Other publications TiSEM 4445249f-0fea-4d10-80d6-2, Tilburg University, School of Economics and Management.- Engwerda, J.C. & Weeren, A.J.T.M., 2006.
"
**A Result on Output Feedback Linear Quadratic Control**," Discussion Paper 2006-108, Tilburg University, Center for Economic Research.

- Engwerda, J.C. & Weeren, A.J.T.M., 2006.
"
- Engwerda, J.C., 2004.
"
**The open-loop linear quadratic differential game revisited**," Other publications TiSEM ff4e8556-547a-4157-a832-a, Tilburg University, School of Economics and Management.- Engwerda, J.C., 2005.
"
**The Open-Loop Linear Quadratic Differential Game Revisited**," Discussion Paper 2005-34, Tilburg University, Center for Economic Research.

- Engwerda, J.C., 2005.
"
- Engwerda, J.C., 2004.
"
**A numerical algorithm to find soft-constrained Nash equilibria in scalar LQ-games**," Other publications TiSEM 7a3232f4-ef03-4cc7-a438-e, Tilburg University, School of Economics and Management.- Engwerda, J.C., 2005.
"
**A Numerical Algorithm to find Soft-Constrained Nash Equilibria in Scalar LQ-Games**," Discussion Paper 2005-33, Tilburg University, Center for Economic Research.

- Engwerda, J.C., 2005.
"
- Engwerda, J.C., 2007.
"
**Algorithms for computing Nash equilibria in deterministic LQ games**," Other publications TiSEM 89716ae9-c244-4448-b796-4, Tilburg University, School of Economics and Management.- Engwerda, J.C., 2006.
"
**Algorithms for Computing Nash Equilibria in Deterministic LQ Games**," Discussion Paper 2006-109, Tilburg University, Center for Economic Research. - Jacob Engwerda, 2007.
"
**Algorithms for computing Nash equilibria in deterministic LQ games**," Computational Management Science, Springer, vol. 4(2), pages 113-140, April.

- Engwerda, J.C., 2006.
"
- Engwerda, J.C., 2005.
"
**Uncertainty in a Fishery Management Game**," Discussion Paper 2005-36, Tilburg University, Center for Economic Research.

- Engwerda, J.C. & Salmah, Y. & Wijayanti, I.E., 2008.
"
- Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M., 2002.
"
**On the dynamic analysis of piecewise-linear networks**," Other publications TiSEM 5f3ee4aa-5cfb-4b0f-96c8-b, Tilburg University, School of Economics and Management.Cited by:

- Camlibel, M.K. & Schumacher, Hans, 2016.
"
**Linear passive systems and maximal monotone mappings**," Other publications TiSEM de20953c-62e8-46a6-8af4-7, Tilburg University, School of Economics and Management.

- Camlibel, M.K. & Schumacher, Hans, 2016.
"
- Berridge, S.J. & Schumacher, J.M., 2002.
"
**An Irregular Grid Approach for Pricing High Dimensional American Options**," Discussion Paper 2002-99, Tilburg University, Center for Economic Research.- Berridge, S.J. & Schumacher, J.M., 2004.
"
**An Irregular Grid Approach for Pricing High-Dimensional American Options**," Discussion Paper 2004-18, Tilburg University, Center for Economic Research.

Cited by:

- Berridge, S.J. & Schumacher, J.M., 2004.
"
**Pricing High-Dimensional American Options Using Local Consistency Conditions**," Discussion Paper 2004-19, Tilburg University, Center for Economic Research. - Berridge, S.J. & Schumacher, J.M., 2004.
"
**Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options**," Discussion Paper 2004-20, Tilburg University, Center for Economic Research.

- Berridge, S.J. & Schumacher, J.M., 2004.
"
- Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002.
"
**Model Risk and Regulatory Capital**," Discussion Paper 2002-27, Tilburg University, Center for Economic Research.Cited by:

- Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008.
"
**Measuring Model Risk**," Hannover Economic Papers (HEP) dp-409, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät. - Hato Schmeiser & Caroline Siegel & Joël Wagner, 2012.
"
**The risk of model misspecification and its impact on solvency measurement in the insurance sector**," Journal of Risk Finance, Emerald Group Publishing, vol. 13(4), pages 285-308, August. - Kerkhof, Jeroen & Melenberg, Bertrand, 2004.
"
**Backtesting for risk-based regulatory capital**," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.- Kerkhof, F.L.J. & Melenberg, B., 2002.
"
**Backtesting for Risk-Based Regulatory Capital**," Discussion Paper 2002-110, Tilburg University, Center for Economic Research.

- Kerkhof, F.L.J. & Melenberg, B., 2002.
"

- Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008.
"
- Heemels, W.P.M.H. & Schumacher, J.M. & Weiland, S., 2000.
"
**Linear complimentarity systems**," Other publications TiSEM 6cdf0170-6ea9-4fdc-8cfa-6, Tilburg University, School of Economics and Management.Cited by:

- Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2000.
"
**Well-posedness of a class of linear networks with ideal diodes**," Other publications TiSEM 4d0e45aa-e1b0-4329-b387-f, Tilburg University, School of Economics and Management. - Ban, Xuegang (Jeff) & Pang, Jong-Shi & Liu, Henry X. & Ma, Rui, 2012.
"
**Continuous-time point-queue models in dynamic network loading**," Transportation Research Part B: Methodological, Elsevier, vol. 46(3), pages 360-380. - Camlibel, M.K. & Schumacher, Hans, 2016.
"
**Linear passive systems and maximal monotone mappings**," Other publications TiSEM de20953c-62e8-46a6-8af4-7, Tilburg University, School of Economics and Management. - Xing Wang & Nan-jing Huang, 2014.
"
**A Class of Differential Vector Variational Inequalities in Finite Dimensional Spaces**," Journal of Optimization Theory and Applications, Springer, vol. 162(2), pages 633-648, August. - Ban, Xuegang (Jeff) & Pang, Jong-Shi & Liu, Henry X. & Ma, Rui, 2012.
"
**Modeling and solving continuous-time instantaneous dynamic user equilibria: A differential complementarity systems approach**," Transportation Research Part B: Methodological, Elsevier, vol. 46(3), pages 389-408. - Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M. & Brogliato, B., 2011.
"
**Observer-based control of linear complementarity systems**," Other publications TiSEM 38b3325c-4d33-4c2f-92f8-9, Tilburg University, School of Economics and Management. - Xing Wang & Nan-Jing Huang, 2013.
"
**Differential Vector Variational Inequalities in Finite-Dimensional Spaces**," Journal of Optimization Theory and Applications, Springer, vol. 158(1), pages 109-129, July.

- Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2000.
"
- Roorda, B. & Engwerda, J.C. & Schumacher, J.M., 1999.
"
**Performance of Delta-hedging strategies in interval models - A robustness study**," Discussion Paper 1999-05, Tilburg University, Center for Economic Research.Cited by:

- Henry Lam & Zhenming Liu, 2014.
"
**From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments**," Papers 1406.6084, arXiv.org.

- Henry Lam & Zhenming Liu, 2014.
"
- van der Schaft, A.J. & Schumacher, J.M., 1996.
"
**The complementary-slackness class of hybrid systems**," Other publications TiSEM fdbd7937-089c-4262-a7a9-2, Tilburg University, School of Economics and Management.Cited by:

- Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2000.
"
**Well-posedness of a class of linear networks with ideal diodes**," Other publications TiSEM 4d0e45aa-e1b0-4329-b387-f, Tilburg University, School of Economics and Management. - Heemels, W.P.M.H. & Schumacher, J.M. & Weiland, S., 2000.
"
**Linear complimentarity systems**," Other publications TiSEM 6cdf0170-6ea9-4fdc-8cfa-6, Tilburg University, School of Economics and Management. - Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M. & Brogliato, B., 2011.
"
**Observer-based control of linear complementarity systems**," Other publications TiSEM 38b3325c-4d33-4c2f-92f8-9, Tilburg University, School of Economics and Management.

- Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2000.
"
- Rosenthal, J. & Schumacher, J.M. & York, E.V., 1996.
"
**On behaviors and convolutional codes**," Other publications TiSEM 1c23f564-7bce-463e-898b-6, Tilburg University, School of Economics and Management.Cited by:

- Helmke, U. & Rosenthal, J. & Schumacher, J.M., 1997.
"
**A controlability test for general first-order representations**," Other publications TiSEM c1d2ef96-26c2-4c77-95bd-3, Tilburg University, School of Economics and Management.

- Helmke, U. & Rosenthal, J. & Schumacher, J.M., 1997.
"
- Geerts, A.H.W. & Schumacher, J.M., 1996.
"
**Impulsive-Smooth Behavior in Multimode Systems. Part II : Minimality and Equivalence**," Other publications TiSEM 89d257b6-6e69-4712-8554-5, Tilburg University, School of Economics and Management.Cited by:

- Rosenthal, J. & Schumacher, J.M., 1997.
"
**Realization by inspection**," Other publications TiSEM 28d79c0f-cd32-46ac-81e8-7, Tilburg University, School of Economics and Management.

- Rosenthal, J. & Schumacher, J.M., 1997.
"
- Geerts, A.H.W. & Schumacher, J.M., 1996.
"
**Impulsive-Smooth Behavior in Multimode Systems. Part I : State-Space and Polynomial Representations**," Other publications TiSEM feafa954-c509-4955-88f2-1, Tilburg University, School of Economics and Management.Cited by:

- Geerts, A.H.W. & Schumacher, J.M., 1996.
"
**Impulsive-Smooth Behavior in Multimode Systems. Part II : Minimality and Equivalence**," Other publications TiSEM 89d257b6-6e69-4712-8554-5, Tilburg University, School of Economics and Management. - Rosenthal, J. & Schumacher, J.M., 1997.
"
**Realization by inspection**," Other publications TiSEM 28d79c0f-cd32-46ac-81e8-7, Tilburg University, School of Economics and Management. - Helmke, U. & Rosenthal, J. & Schumacher, J.M., 1997.
"
**A controlability test for general first-order representations**," Other publications TiSEM c1d2ef96-26c2-4c77-95bd-3, Tilburg University, School of Economics and Management.

- Geerts, A.H.W. & Schumacher, J.M., 1996.
"
- Cevik, M.K.K. & Schumacher, J.M., 1995.
"
**The regulator problem with robust stability**," Other publications TiSEM cf41c9f4-ab93-41e9-a76a-c, Tilburg University, School of Economics and Management.Cited by:

- Cevik, M.K.K. & Schumacher, J.M., 1997.
"
**Regulation as an interpolation problem**," Other publications TiSEM 48ef95bf-86dd-4932-860f-b, Tilburg University, School of Economics and Management.

- Cevik, M.K.K. & Schumacher, J.M., 1997.
"
- Rosenthal, J. & Schumacher, J.M. & Willems, J.C., 1995.
"
**Generic eigenvalue assignment by memoryless real output feedback**," Other publications TiSEM 971c0413-f039-4eca-91a3-0, Tilburg University, School of Economics and Management.Cited by:

- J. Leventides & N. Karcanias, 1998.
"
**Dynamic Pole Assignment Using Global, Blow Up Linearization: Low Complexity Solutions**," Journal of Optimization Theory and Applications, Springer, vol. 96(1), pages 57-86, January.

- J. Leventides & N. Karcanias, 1998.
"
- de Does, J. & Schumacher, J.M., 1994.
"
**Interpretations of the gap topology : a survey**," Other publications TiSEM 13e6ef2b-e384-4284-8836-0, Tilburg University, School of Economics and Management.Cited by:

- Cevik, M.K.K. & Schumacher, J.M., 1997.
"
**Regulation as an interpolation problem**," Other publications TiSEM 48ef95bf-86dd-4932-860f-b, Tilburg University, School of Economics and Management.

- Cevik, M.K.K. & Schumacher, J.M., 1997.
"
- Weeren, A.J.T.M. & Schumacher, J.M. & Engwerda, J.C., 1994.
"
**Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games : The two player case**," Research Memorandum FEW 634, Tilburg University, School of Economics and Management.Cited by:

- Engwerda, J.C., 1999.
"
**On the solution set of scalar algebraic Riccati equations**," Other publications TiSEM 11c4c9d5-d01b-4372-a18b-1, Tilburg University, School of Economics and Management. - Engwerda, J.C., 2000.
"
**The solution set of the N-player scalar feedback Nash algebraic Riccati equations**," Other publications TiSEM 08cf862d-500f-44fd-983a-0, Tilburg University, School of Economics and Management.- Engwerda, J.C., 1999.
"
**The Solution Set of the n-Player Scalar Feedback Nash Algebraic Riccati Equations**," Discussion Paper 1999-90, Tilburg University, Center for Economic Research.

- Engwerda, J.C., 1999.
"
- Engwerda, J.C., 1998.
"
**On the Scalar Feedback Nash Equilibria in the Infinite Horizon LQ-Game**," Discussion Paper 1998-112, Tilburg University, Center for Economic Research. - Engwerda, J.C., 1997.
"
**The infinite horizon open-loop Nash LQ-Game**," Other publications TiSEM d621ac1e-53ae-410d-a986-6, Tilburg University, School of Economics and Management.- Engwerda, J.C., 1996.
"
**The Infinite Horizon Open-Loop Nash LQ-Game**," Research Memorandum 741, Tilburg University, School of Economics and Management. - Engwerda, J.C., 1997.
"
**The infinite horizon open-loop Nash LQ-game**," Research Memorandum ab576a1b-0aec-4811-a464-a, Tilburg University, School of Economics and Management.

- Engwerda, J.C., 1996.
"
- Engwerda, J.C., 1998.
"
**On the open-loop Nash equilibrium in LQ-games**," Other publications TiSEM b0eba71b-2d15-471a-b057-4, Tilburg University, School of Economics and Management.- Engwerda, Jacob C., 1998.
"
**On the open-loop Nash equilibrium in LQ-games**," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 729-762, May. - Engwerda, J.C., 1996.
"
**On the Open-Loop Nash Equilibrium in LQ-Games**," Research Memorandum 726, Tilburg University, School of Economics and Management.

- Engwerda, Jacob C., 1998.
"
- Engwerda, J.C. & Salmah, Y., 2010.
"
**Necessary and Sufficient Conditions for Feedback Nash Equilibria for the Affine Quadratic Differential**," Discussion Paper 2010-78, Tilburg University, Center for Economic Research. - Engwerda, Jacob & van Aarle, Bas & Plasmans, Joseph & Weeren, Arie, 2013.
"
**Debt stabilization games in the presence of risk premia**," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2525-2546.- Engwerda, J.C. & van Aarle, B. & Plasmans, J.E.J. & Weeren, A.J.T.M., 2012.
"
**Debt Stabilization Games in the Presence of Risk Premia**," Discussion Paper 2012-056, Tilburg University, Center for Economic Research.

- Engwerda, J.C. & van Aarle, B. & Plasmans, J.E.J. & Weeren, A.J.T.M., 2012.
"
- van Aarle, B. & Engwerda, J.C. & Plasmans, J.E.J. & Weeren, A.J.T.M., 2001.
"
**Macroeconomic policy interaction under EMU : A dynamic game approach**," Other publications TiSEM 2ce7e28d-97f5-4b29-b1d2-3, Tilburg University, School of Economics and Management.- Bas Van Aarle & Jacob Engwerda & Joseph Plasmans & Arie Weeren, 2001.
"
**Macroeconomic Policy Interaction under EMU: A Dynamic Game Approach**," Open Economies Review, Springer, vol. 12(1), pages 29-60, January.

- Bas Van Aarle & Jacob Engwerda & Joseph Plasmans & Arie Weeren, 2001.
"
- Weeren, A.J.T.M., 1995.
"
**Coordination in hierarchical control**," Other publications TiSEM c24c0d84-75c9-4e80-a9cd-0, Tilburg University, School of Economics and Management. - Weeren, A. J. T. M. & Schumacher, J. M. & Engwerda, J. C., 1999.
"
**Strategic behavior and noncooperative hierarchical control**," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 641-669, February. - van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2003.
"
**An equivalence result in linear-quadratic theory**," Other publications TiSEM d65171ce-101d-4204-a1ec-f, Tilburg University, School of Economics and Management. - Engwerda, J.C., 2000.
"
**Feedback Nash equilibria in the scalar infinite horizon LQ-Game**," Other publications TiSEM 58ccf964-4ca1-4d67-9a68-a, Tilburg University, School of Economics and Management. - Engwerda, J.C. & Weeren, A.J.T.M., 1994.
"
**On the relationship between the open-loop Nash equilibrium in LQ-games and the inertia of a matrix**," Research Memorandum FEW 672, Tilburg University, School of Economics and Management. - Engwerda, J.C., 2013.
"
**A Numerical Algorithm to find All Scalar Feedback Nash Equilibria**," Discussion Paper 2013-050, Tilburg University, Center for Economic Research.

- Engwerda, J.C., 1999.
"
- Kuijper, M. & Schumacher, J.M., 1993.
"
**Input/output structure of linear differential/algebraic systems**," Other publications TiSEM a20b7428-f967-455a-b80f-8, Tilburg University, School of Economics and Management.Cited by:

- Heemels, W.P.M.H. & Schumacher, J.M. & Weiland, S., 2000.
"
**Linear complimentarity systems**," Other publications TiSEM 6cdf0170-6ea9-4fdc-8cfa-6, Tilburg University, School of Economics and Management.

- Heemels, W.P.M.H. & Schumacher, J.M. & Weiland, S., 2000.
"
- Schumacher, J.M., 1992.
"
**A pointwise criterion for controller robustness**," Other publications TiSEM e81ae511-9b41-49f5-9836-3, Tilburg University, School of Economics and Management.Cited by:

- Cevik, M.K.K. & Schumacher, J.M., 1997.
"
**Regulation as an interpolation problem**," Other publications TiSEM 48ef95bf-86dd-4932-860f-b, Tilburg University, School of Economics and Management. - Cevik, M.K.K. & Schumacher, J.M., 1995.
"
**The regulator problem with robust stability**," Other publications TiSEM cf41c9f4-ab93-41e9-a76a-c, Tilburg University, School of Economics and Management.

- Cevik, M.K.K. & Schumacher, J.M., 1997.
"
- Kuijper, M. & Schumacher, J.M., 1990.
"
**Realization of autoregressive equations in pencil and descriptor form**," Other publications TiSEM 3c164c8f-c092-448d-8ae7-9, Tilburg University, School of Economics and Management.Cited by:

- Kuijper, M. & Schumacher, J.M., 1991.
"
**Minimality of descriptor representations under external equivalence**," Other publications TiSEM 47bb4ea8-690e-4693-ac2d-6, Tilburg University, School of Economics and Management. - Kuijper, M. & Schumacher, J.M., 1992.
"
**Realization and partial fractions**," Other publications TiSEM 5243353a-8367-4125-be19-d, Tilburg University, School of Economics and Management. - de Does, J. & Schumacher, J.M., 1994.
"
**Continuity of singular perturbations in the graph topology**," Other publications TiSEM 45fc5e97-e84d-4eb4-a8cd-0, Tilburg University, School of Economics and Management. - Rosenthal, J. & Schumacher, J.M., 1997.
"
**Realization by inspection**," Other publications TiSEM 28d79c0f-cd32-46ac-81e8-7, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1992.
"
**A pointwise criterion for controller robustness**," Other publications TiSEM e81ae511-9b41-49f5-9836-3, Tilburg University, School of Economics and Management. - Ravi, M.S. & Rosenthal, J. & Schumacher, J.M., 1997.
"
**Homogeneous behaviors**," Other publications TiSEM 2b7d087c-568b-4013-a1a1-5, Tilburg University, School of Economics and Management.

- Kuijper, M. & Schumacher, J.M., 1991.
"
- Schumacher, J.M., 1988.
"
**Transformations of linear systems under external equivalence**," Other publications TiSEM f42a7b5c-91c0-4082-b9d2-0, Tilburg University, School of Economics and Management.Cited by:

- Kuijper, M. & Schumacher, J.M., 1991.
"
**Minimality of descriptor representations under external equivalence**," Other publications TiSEM 47bb4ea8-690e-4693-ac2d-6, Tilburg University, School of Economics and Management. - Rosenthal, J. & Schumacher, J.M., 1997.
"
**Realization by inspection**," Other publications TiSEM 28d79c0f-cd32-46ac-81e8-7, Tilburg University, School of Economics and Management.

- Kuijper, M. & Schumacher, J.M., 1991.
"
- Schumacher, J.M., 1985.
"
**A geometric approach to the singular filtering problem**," Other publications TiSEM 0e407bf8-8686-465d-9c67-4, Tilburg University, School of Economics and Management.Cited by:

- Douglas, Randal K. & Chung, Walter H. & Malladi, Durga P. & Chen, Robert H. & Speyer, Jason L. & Mingori, D. Lewis, 1997.
"
**Integration Of Fault Detection And Indentification Into A Fault Tolerant Automated Highway System**," Institute of Transportation Studies, Research Reports, Working Papers, Proceedings qt62t7x79s, Institute of Transportation Studies, UC Berkeley.

- Douglas, Randal K. & Chung, Walter H. & Malladi, Durga P. & Chen, Robert H. & Speyer, Jason L. & Mingori, D. Lewis, 1997.
"
- Schumacher, J.M., 1983.
"
**The role of the dissipation matrix in singular optimal control**," Other publications TiSEM c643d99a-ddb6-4f6c-a4d6-f, Tilburg University, School of Economics and Management.Cited by:

- Douglas, Randal K. & Chung, Walter H. & Malladi, Durga P. & Chen, Robert H. & Speyer, Jason L. & Mingori, D. Lewis, 1997.
"
**Integration Of Fault Detection And Indentification Into A Fault Tolerant Automated Highway System**," Institute of Transportation Studies, Research Reports, Working Papers, Proceedings qt62t7x79s, Institute of Transportation Studies, UC Berkeley. - Douglas, R. K. & Speyer, J. L. & Mingori, D. L. & Chen, R. H. & Malladi, D. P. & Chung, W. H., 1996.
"
**Fault Detection And Identification With Application To Advanced Vehicle Control Systems: Final Report**," Institute of Transportation Studies, Research Reports, Working Papers, Proceedings qt6ff2r546, Institute of Transportation Studies, UC Berkeley.

- Douglas, Randal K. & Chung, Walter H. & Malladi, Durga P. & Chen, Robert H. & Speyer, Jason L. & Mingori, D. Lewis, 1997.
"
- Schumacher, J.M., 1983.
"
**The algebraic regulator problem from the state-space point of view**," Other publications TiSEM 5779f1b9-6092-4e3e-8daf-6, Tilburg University, School of Economics and Management.Cited by:

- Schumacher, J.M., 1983.
"
**Finite-dimensional regulators for a class of infinite-dimensional systems**," Other publications TiSEM 4fdcad40-715b-434f-8917-a, Tilburg University, School of Economics and Management.

- Schumacher, J.M., 1983.
"
- Schumacher, J.M., 1982.
"
**Regulator synthesis using (C,A,B)-pairs**," Other publications TiSEM c3a99310-ebb7-4868-8af3-2, Tilburg University, School of Economics and Management.Cited by:

- Schumacher, J.M., 1983.
"
**On a conjecture of Basile and Marro**," Other publications TiSEM c55efa93-f6f8-401c-98bb-6, Tilburg University, School of Economics and Management. - Schumacher, J.M., 1983.
"
**The algebraic regulator problem from the state-space point of view**," Other publications TiSEM 5779f1b9-6092-4e3e-8daf-6, Tilburg University, School of Economics and Management.

- Schumacher, J.M., 1983.
"
- Schumacher, J.M., 1980.
"
**A complement on pole placement**," Other publications TiSEM b2551d06-13c0-49ba-857d-8, Tilburg University, School of Economics and Management.Cited by:

- Schumacher, J.M., 1983.
"
**The algebraic regulator problem from the state-space point of view**," Other publications TiSEM 5779f1b9-6092-4e3e-8daf-6, Tilburg University, School of Economics and Management.

- Schumacher, J.M., 1983.
"
- Schumacher, J.M., 1980.
"
**Compensator synthesis using (C,A,B)-pairs**," Other publications TiSEM 7388dba7-dc63-42d5-bdfe-3, Tilburg University, School of Economics and Management.Cited by:

- Schumacher, J.M., 1983.
"
**On a conjecture of Basile and Marro**," Other publications TiSEM c55efa93-f6f8-401c-98bb-6, Tilburg University, School of Economics and Management.

- Schumacher, J.M., 1983.
"

### Articles

- Bao, Hailong & Ponds, Eduard H.M. & Schumacher, Johannes M., 2017.
"
**Multi-period risk sharing under financial fairness**," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 49-66.Cited by:

- Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2017.
"
**The composite iteration algorithm for finding efficient and financially fair risk-sharing rules**," Journal of Mathematical Economics, Elsevier, vol. 72(C), pages 122-133.

- Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2017.
"
- Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2017.
"
**The composite iteration algorithm for finding efficient and financially fair risk-sharing rules**," Journal of Mathematical Economics, Elsevier, vol. 72(C), pages 122-133.Cited by:

- Johannes M. Schumacher, 2018.
"
**A Multi-Objective Interpretation of Optimal Transport**," Journal of Optimization Theory and Applications, Springer, vol. 176(1), pages 94-119, January.

- Johannes M. Schumacher, 2018.
"
- Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2016.
"
**Cooperative investment in incomplete markets under financial fairness**," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 394-406.Cited by:

- Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2017.
"
**The composite iteration algorithm for finding efficient and financially fair risk-sharing rules**," Journal of Mathematical Economics, Elsevier, vol. 72(C), pages 122-133.

- Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2017.
"
- Berend Roorda & Johannes Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.- Berend Roorda & Johannes M. Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.

See citations under working paper version above.- Roorda, B. & Schumacher, Hans, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Other publications TiSEM 132bdd0b-40dd-44bd-ab64-c, Tilburg University, School of Economics and Management.

- Berend Roorda & Johannes M. Schumacher, 2016.
"
- Roorda Berend & Schumacher Hans, 2013.
"
**Membership conditions for consistent families of monetary valuations**," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.See citations under working paper version above.- Roorda, B. & Schumacher, J.M., 2013.
"
**Membership conditions for consistent families of monetary valuations**," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.

- Roorda, B. & Schumacher, J.M., 2013.
"
- Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010.
"
**Model risk and capital reserves**," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.Cited by:

- Marcelo Brutti Righi, 2017.
"
**A risk measure that optimally balances capital determination errors**," Papers 1707.09829, arXiv.org. - Barrieu, Pauline & Scandolo, Giacomo, 2015.
"
**Assessing financial model risk**," European Journal of Operational Research, Elsevier, vol. 242(2), pages 546-556.- Pauline Barrieu & Giacomo Scandolo, 2013.
"
**Assessing Financial Model Risk**," Papers 1307.0684, arXiv.org, revised Jul 2013.

- Pauline Barrieu & Giacomo Scandolo, 2013.
"
- Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011.
"
**About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis**," Hannover Economic Papers (HEP) dp-469, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät. - Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012.
"
**Une évaluation économique du risque de modèle pour les investisseurs de long-terme**," Post-Print hal-01386007, HAL.- Christophe BOUCHER & Benjamin HAMIDI & Patrick KOUONTCHOU & Bertrand MAILLET, 2012.
"
**Une évaluation économique du risque de modèle pour les investisseurs de long-terme**," LEO Working Papers / DR LEO 1718, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans. - Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012.
"
**Une évaluation économique du risque de modèle pour les investisseurs de long terme**," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00820721, HAL. - Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012.
"
**Une évaluation économique du risque de modèle pour les investisseurs de long-terme**," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00825337, HAL. - Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012.
"
**Une évaluation économique du risque de modèle pour les investisseurs de long terme**," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 591-600.

- Christophe BOUCHER & Benjamin HAMIDI & Patrick KOUONTCHOU & Bertrand MAILLET, 2012.
"
- Mitra, Sovan, 2017.
"
**Efficient option risk measurement with reduced model risk**," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 163-174. - Aussenegg, Wolfgang & Resch, Florian & Winkler, Gerhard, 2011.
"
**Pitfalls and remedies in testing the calibration quality of rating systems**," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 698-708, March. - Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet, 2014.
"
**Risk model-at-risk**," Post-Print hal-01370130, HAL.- Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014.
"
**Risk models-at-risk**," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92. - Boucher, Christophe M. & Danielsson, Jon & Kouontchou, Patrick S. & Maillet, Bertrand B., 2013.
"
**Risk models–at–risk**," LSE Research Online Documents on Economics 59299, London School of Economics and Political Science, LSE Library. - Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014.
"
**Risk Model-at-Risk**," Post-Print hal-01386003, HAL. - Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet, 2014.
"
**Risk models-at-risk**," Post-Print hal-01243413, HAL.

- Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014.
"
- Barrieu, Pauline & Scandolo, Giacomo, 2014.
"
**Assessing financial model risk**," LSE Research Online Documents on Economics 60084, London School of Economics and Political Science, LSE Library. - Bernard, Carole & Vanduffel, Steven, 2015.
"
**A new approach to assessing model risk in high dimensions**," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178. - Nikola Tarashev, 2009.
"
**Measuring portfolio credit risk correctly: why parameter uncertainty matters**," BIS Working Papers 280, Bank for International Settlements.- Tarashev, Nikola, 2010.
"
**Measuring portfolio credit risk correctly: Why parameter uncertainty matters**," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2065-2076, September.

- Tarashev, Nikola, 2010.
"
- Liu, Xiaochun, 2017.
"
**An integrated macro-financial risk-based approach to the stressed capital requirement**," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98. - Coqueret, Guillaume & Tavin, Bertrand, 2016.
"
**An investigation of model risk in a market with jumps and stochastic volatility**," European Journal of Operational Research, Elsevier, vol. 253(3), pages 648-658. - Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013.
"
**An Economic Evaluation of Model Risk in Long-term Asset Allocations**," Post-Print hal-01369201, HAL.- Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013.
"
**An Economic Evaluation of Model Risk in Long-term Asset Allocations**," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 475-491, August. - Christophe Boucher & Gregory Jannin & Bertrand Maillet & Patrick Kouontchou, 2013.
"
**An Economic Evaluation of Model Risk in Long-term Asset Allocations**," Working Papers halshs-00825303, HAL. - Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013.
"
**An Economic Evaluation of Model Risk in Long-term Asset Allocations**," Post-Print hal-01386004, HAL. - Christophe BOUCHER & Grégory JANNIN & Patrick KOUONTCHOU & Bertrand MAILLET, 2013.
"
**An Economic Evaluation of Model Risk In Long-term Asset Allocations**," LEO Working Papers / DR LEO 2246, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.

- Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013.
"
- Weidong Tian & Junya Jiang & Weidong Tian, 2017.
"
**Model Uncertainty Effect on Asset Prices**," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 205-233, June. - Valeria Bignozzi & Andreas Tsanakas, 2016.
"
**Parameter Uncertainty and Residual Estimation Risk**," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 949-978, December. - Carol Alexander & Jose Maria Sarabia, 2010.
"
**Endogenizing Model Risk to Quantile Estimates**," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, Reading University. - Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012.
"
**The 1/N investment strategy is optimal under high model ambiguity**," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 410-417. - Thomas Breuer & Imre Csiszar, 2013.
"
**Measuring Model Risk**," Papers 1301.4832, arXiv.org. - Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle, 2016.
"
**Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries**," SFB 649 Discussion Papers SFB649DP2016-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014.
"
**A new approach to the unconditional measurement of default risk**," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico. - Thomas Breuer & Martin Summer, 2013.
"
**Stress Test Robustness: Recent Advances and Open Problems**," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 74-86. - Tunaru, Radu & Zheng, Teng, 2017.
"
**Parameter estimation risk in asset pricing and risk management: A Bayesian approach**," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.

- Marcelo Brutti Righi, 2017.
"
- Dai, Renxiang & Schumacher, J.M., 2009.
"
**Welfare analysis of conditional indexation schemes from a two-reference-point perspective**," Journal of Pension Economics and Finance, Cambridge University Press, vol. 8(03), pages 321-350, July.Cited by:

- Kleinow, Torsten & Schumacher, Hans, 2017.
"
**Financial fairness and conditional indexation**," Other publications TiSEM 8beebbc8-47f4-4063-a099-e, Tilburg University, School of Economics and Management.

- Kleinow, Torsten & Schumacher, Hans, 2017.
"
- Roorda, Berend & Schumacher, J.M., 2007.
"
**Time consistency conditions for acceptability measures, with an application to Tail Value at Risk**," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.Cited by:

- Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012.
"
**Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles**," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October. - Bion-Nadal, Jocelyne, 2009.
"
**Time consistent dynamic risk processes**," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 633-654, February. - Chen, Zhiping & Li, Gang & Zhao, Yonggan, 2014.
"
**Time-consistent investment policies in Markovian markets: A case of mean–variance analysis**," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 293-316. - Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012.
"
**Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles**," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library. - Berend Roorda & Johannes Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.- Berend Roorda & Johannes M. Schumacher, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January. - Roorda, B. & Schumacher, Hans, 2016.
"
**Weakly time consistent concave valuations and their dual representations**," Other publications TiSEM 132bdd0b-40dd-44bd-ab64-c, Tilburg University, School of Economics and Management.

- Berend Roorda & Johannes M. Schumacher, 2016.
"
- Davi Michel Valladão & Álvaro Veiga & Alexandre Street, 2018.
"
**A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection**," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 1021-1032, April. - Roorda, B. & Schumacher, J.M., 2013.
"
**Membership conditions for consistent families of monetary valuations**," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.- Roorda Berend & Schumacher Hans, 2013.
"
**Membership conditions for consistent families of monetary valuations**," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.

- Roorda Berend & Schumacher Hans, 2013.
"
- Daniel Lacker, 2015.
"
**Law invariant risk measures and information divergences**," Papers 1510.07030, arXiv.org, revised Jun 2016. - Stadje, Mitja, 2010.
"
**Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach**," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December. - Beatrice Acciaio & Irina Penner, 2010.
"
**Dynamic risk measures**," Papers 1002.3794, arXiv.org. - Fasen Vicky & Svejda Adela, 2012.
"
**Time consistency of multi-period distortion measures**," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 133-153, June. - Beatrice Acciaio & Hans Foellmer & Irina Penner, 2010.
"
**Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles**," Papers 1002.3627, arXiv.org. - Kovacevic Raimund M., 2012.
"
**Conditional risk and acceptability mappings as Banach-lattice valued mappings**," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 1-18, March. - Chen, Zhi-ping & Li, Gang & Guo, Ju-e, 2013.
"
**Optimal investment policy in the time consistent mean–variance formulation**," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 145-156. - Jocelyne Bion-Nadal & Magali Kervarec, 2010.
"
**Risk measuring under model uncertainty**," Papers 1004.5524, arXiv.org, revised Dec 2010. - Rudloff, Birgit & Street, Alexandre & Valladão, Davi M., 2014.
"
**Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences**," European Journal of Operational Research, Elsevier, vol. 234(3), pages 743-750. - Jocelyne Bion-Nadal, 2006.
"
**Time Consistent Dynamic Risk Processes, Cadlag Modification**," Papers math/0607212, arXiv.org. - Bäuerle Nicole & Mundt André, 2009.
"
**A Bayesian approach to incorporate model ambiguity in a dynamic risk measure**," Statistics & Risk Modeling, De Gruyter, vol. 26(3), pages 219-242, April.

- Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012.
"
- Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005.
"
**Coherent Acceptability Measures In Multiperiod Models**," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612.Cited by:

- Saul Jacka & Seb Armstrong & Abdelkarem Berkaoui, 2017.
"
**On representing and hedging claims for coherent risk measures**," Papers 1703.03638, arXiv.org, revised Feb 2018. - Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012.
"
**Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles**," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October. - Riedel, Frank, 2004.
"
**Dynamic coherent risk measures**," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.- Frank Riedel, 2003.
"
**Dynamic Coherent Risk Measures**," Working Papers 03004, Stanford University, Department of Economics.

- Frank Riedel, 2003.
"
- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014.
"
**A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time**," Papers 1409.7028, arXiv.org, revised Sep 2017. - Chen, Zhiping & Li, Gang & Zhao, Yonggan, 2014.
"
**Time-consistent investment policies in Markovian markets: A case of mean–variance analysis**," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 293-316. - Traian A. Pirvu & Gordan Žitković, 2009.
"
**Maximizing The Growth Rate Under Risk Constraints**," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455. - Dimitrios Konstantinides & Christos Kountzakis, 2014.
"
**The restricted convex risk measures in actuarial solvency**," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 287-318, October. - Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012.
"
- Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez, 2012.
"
**Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices**," Papers 1205.4790, arXiv.org, revised Jun 2013. - Roorda, B. & Schumacher, J.M., 2013.
"
**Membership conditions for consistent families of monetary valuations**," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.- Roorda Berend & Schumacher Hans, 2013.
"
**Membership conditions for consistent families of monetary valuations**," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.

- Roorda Berend & Schumacher Hans, 2013.
"
- Jingnan Fan & Andrzej Ruszczynski, 2014.
"
**Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems**," Papers 1411.2675, arXiv.org, revised Nov 2016. - Roorda, Berend & Schumacher, J.M., 2007.
"
**Time consistency conditions for acceptability measures, with an application to Tail Value at Risk**," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March. - Mustafa Pınar, 2011.
"
**Gain–loss based convex risk limits in discrete-time trading**," Computational Management Science, Springer, vol. 8(3), pages 299-321, August. - Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016.
"
**Time-consistent actuarial valuations**," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.- Antoon Pelsser, 2011.
"
**Time-Consistent Actuarial Valuations**," Papers 1109.1751, arXiv.org.

- Antoon Pelsser, 2011.
"
- Babacar Seck & Robert J. Elliott & Jean-Pierre Gueyie, 2013.
"
**Computational Dynamic Market Risk Measures in Discrete Time Setting**," Papers 1306.5705, arXiv.org. - Stadje, Mitja, 2010.
"
**Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach**," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December. - Alexander S. Cherny, 2009.
"
**Capital Allocation And Risk Contribution With Discrete-Time Coherent Risk**," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 13-40. - Roorda, Berend & Schumacher, J.M., 2011.
"
**The strictest common relaxation of a family of risk measures**," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 29-34, January.- Roorda, B. & Schumacher, J.M., 2011.
"
**The strictest common relaxation of a family of risk measures**," Other publications TiSEM fe50549a-ca7b-4a03-9318-1, Tilburg University, School of Economics and Management.

- Roorda, B. & Schumacher, J.M., 2011.
"
- Beatrice Acciaio & Irina Penner, 2010.
"
**Dynamic risk measures**," Papers 1002.3794, arXiv.org. - Mitja Stadje & Antoon Pelsser, 2011.
"
**Time-Consistent and Market-Consistent Evaluations**," Papers 1109.1749, arXiv.org, revised Dec 2013.- Antoon Pelsser & Mitja Stadje, 2014.
"
**Time-Consistent And Market-Consistent Evaluations**," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.

- Antoon Pelsser & Mitja Stadje, 2014.
"
- Tomasz R. Bielecki & Igor Cialenco & Zhao Zhang, 2010.
"
**Dynamic Coherent Acceptability Indices and their Applications to Finance**," Papers 1010.4339, arXiv.org, revised May 2011. - Beatrice Acciaio & Hans Foellmer & Irina Penner, 2010.
"
**Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles**," Papers 1002.3627, arXiv.org. - Chen, Zhi-ping & Li, Gang & Guo, Ju-e, 2013.
"
**Optimal investment policy in the time consistent mean–variance formulation**," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 145-156. - Hellmann, Tobias & Riedel, Frank, 2015.
"
**A dynamic extension of the Foster–Hart measure of riskiness**," Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 66-70.- Hellmann, Tobias & Riedel, Frank, 2014.
"
**A Dynamic Extension of the Foster-Hart Measure of Riskiness**," Center for Mathematical Economics Working Papers 528, Center for Mathematical Economics, Bielefeld University.

- Hellmann, Tobias & Riedel, Frank, 2014.
"
- Kai Detlefsen & Giacomo Scandolo, 2005.
"
**Conditional and Dynamic Convex Risk Measures**," SFB 649 Discussion Papers SFB649DP2005-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Patrick Cheridito & Freddy Delbaen & Michael Kupper, 2004.
"
**Dynamic monetary risk measures for bounded discrete-time processes**," Papers math/0410453, arXiv.org. - Zhiping Chen & Jia Liu & Gang Li & Zhe Yan, 2016.
"
**Composite time-consistent multi-period risk measure and its application in optimal portfolio selection**," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(3), pages 515-540, October. - Dilip Madan & Martijn Pistorius & Mitja Stadje, 2013.
"
**On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation**," Papers 1301.3531, arXiv.org, revised Apr 2017. - Frank de Jong, 2005.
"
**Valuation of pension liabilities in incomplete markets**," DNB Working Papers 067, Netherlands Central Bank, Research Department.- De Jong, Frank, 2008.
"
**Valuation of pension liabilities in incomplete markets**," Journal of Pension Economics and Finance, Cambridge University Press, vol. 7(03), pages 277-294, November.

- De Jong, Frank, 2008.
"
- PInar, Mustafa Ç. & Salih, AslIhan & CamcI, Ahmet, 2010.
"
**Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming**," European Journal of Operational Research, Elsevier, vol. 201(3), pages 770-785, March.

- Saul Jacka & Seb Armstrong & Abdelkarem Berkaoui, 2017.
"

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This author is among the top 5% authors according to these criteria:### Co-authorship network on CollEc

### NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-AGE: Economics of Ageing (1) 2017-08-20
- NEP-DGE: Dynamic General Equilibrium (1) 2017-08-20

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