| Publication | Date of Publication | Type |
|---|
Technical note -- Characterizing and computing the set of Nash equilibria via vector optimization
Operations Research | 2024-12-20 | Paper |
Deep learning the efficient frontier of convex vector optimization problems
Journal of Global Optimization | 2024-10-14 | Paper |
Algorithms to Solve Unbounded Convex Vector Optimization Problems
SIAM Journal on Optimization | 2023-10-17 | Paper |
| Approximations of unbounded convex projections and unbounded convex sets | 2023-10-17 | Paper |
Acceptability maximization
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
Scalar multivariate risk measures with a single eligible asset
Mathematics of Operations Research | 2022-06-27 | Paper |
Convex projection and convex multi-objective optimization
Journal of Global Optimization | 2022-05-25 | Paper |
Time consistency for scalar multivariate risk measures
Statistics & Risk Modeling | 2022-02-18 | Paper |
Time consistency of the mean-risk problem
Operations Research | 2022-02-16 | Paper |
Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
Electronic Journal of Statistics | 2021-08-09 | Paper |
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization
Mathematics and Financial Economics | 2021-05-05 | Paper |
Elicitability and identifiability of set-valued measures of systemic risk
Finance and Stochastics | 2021-04-29 | Paper |
Dual representations for systemic risk measures
Mathematics and Financial Economics | 2020-02-21 | Paper |
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
SIAM Journal on Financial Mathematics | 2019-03-20 | Paper |
A supermartingale relation for multivariate risk measures
Quantitative Finance | 2019-02-06 | Paper |
Measures of systemic risk
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Set-valued shortfall and divergence risk measures
International Journal of Theoretical and Applied Finance | 2017-09-08 | Paper |
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
Journal of Global Optimization | 2017-05-22 | Paper |
A parametric simplex algorithm for linear vector optimization problems
Mathematical Programming. Series A. Series B | 2017-05-15 | Paper |
A parametric simplex algorithm for linear vector optimization problems
Mathematical Programming. Series A. Series B | 2017-05-15 | Paper |
Set Optimization—A Rather Short Introduction
Springer Proceedings in Mathematics & Statistics | 2016-05-13 | Paper |
A comparison of techniques for dynamic multivariate risk measures
Springer Proceedings in Mathematics & Statistics | 2016-05-13 | Paper |
A characterization theorem for Aumann integrals
Set-Valued and Variational Analysis | 2015-06-01 | Paper |
On the dual of the solvency cone
Discrete Applied Mathematics | 2015-05-22 | Paper |
Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
European Journal of Operational Research | 2015-02-03 | Paper |
Multi-portfolio time consistency for set-valued convex and coherent risk measures
Finance and Stochastics | 2015-01-19 | Paper |
Primal and dual approximation algorithms for convex vector optimization problems
Journal of Global Optimization | 2014-11-27 | Paper |
Benson type algorithms for linear vector optimization and applications
Journal of Global Optimization | 2014-10-02 | Paper |
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
International Journal of Theoretical and Applied Finance | 2014-06-19 | Paper |
Time consistency of dynamic risk measures in markets with transaction costs
Quantitative Finance | 2014-02-20 | Paper |
Set-valued average value at risk and its computation
Mathematics and Financial Economics | 2013-07-25 | Paper |
Set-valued risk measures for conical market models
Mathematics and Financial Economics | 2013-02-26 | Paper |
Testing composite hypotheses via convex duality
Bernoulli | 2011-02-28 | Paper |
Coherent hedging in incomplete markets
Quantitative Finance | 2009-04-20 | Paper |
| Entropic risk constraints for utility maximization | 2009-01-28 | Paper |
| Continuity and finite-valuedness of set-valued risk measures | 2009-01-28 | Paper |
Convex Hedging in Incomplete Markets
Applied Mathematical Finance | 2008-01-31 | Paper |
