| Publication | Date of Publication | Type |
|---|
Path-regularity and martingale properties of set-valued stochastic integrals
Probability, Uncertainty and Quantitative Risk | 2026-09-01 | Paper |
Dual representations for quasiconvex compositions with applications to systemic risk measures
SIAM Journal on Financial Mathematics | 2026-05-28 | Paper |
Vector optimization with Gaussian process bandits
Machine Learning | 2026-04-10 | Paper |
Short communication: on the separability of vector-valued risk measures
SIAM Journal on Financial Mathematics | 2024-12-04 | Paper |
Convergence analysis of a norm minimization-based convex vector optimization algorithm
SIAM Journal on Optimization | 2024-08-14 | Paper |
MAD risk parity portfolios
Annals of Operations Research | 2024-06-04 | Paper |
Computation of Systemic Risk Measures: A Mixed-Integer Programming Approach
Operations Research | 2024-03-15 | Paper |
| Path-Regularity and Martingale Properties of Set-Valued Stochastic Integrals | 2023-08-24 | Paper |
Random sets and Choquet-type representations
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
| Set-valued convex compositions | 2023-06-28 | Paper |
Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems
SIAM Journal on Optimization | 2023-03-30 | Paper |
| Convergence analysis of a norm minimization-based convex vector optimization algorithm | 2023-02-17 | Paper |
Set-valued convex compositions
(available as arXiv preprint) | 2023-01-01 | Paper |
Path-Regularity and Martingale Properties of Set-Valued Stochastic Integrals
(available as arXiv preprint) | 2023-01-01 | Paper |
Portfolio optimization with two quasiconvex risk measures
Turkish Journal of Mathematics | 2022-08-29 | Paper |
A norm minimization-based convex vector optimization algorithm
Journal of Optimization Theory and Applications | 2022-07-18 | Paper |
Geometric duality results and approximation algorithms for convex vector optimization problems
(available as arXiv preprint) | 2021-08-16 | Paper |
Set-valued risk measures as backward stochastic difference inclusions and equations
Finance and Stochastics | 2021-04-29 | Paper |
Portfolio optimization with two coherent risk measures
Journal of Global Optimization | 2021-04-28 | Paper |
| End-of-Life Inventory Management Problem: Results and Insights | 2021-01-24 | Paper |
End-of-Life Inventory Management Problem: Results and Insights
(available as arXiv preprint) | 2021-01-01 | Paper |
Lower Cone Distribution Functions and Set-Valued Quantiles Form Galois Connections
Theory of Probability & Its Applications | 2020-09-16 | Paper |
| Constructive covers of a finite set | 2020-07-02 | Paper |
Dual representations for systemic risk measures
Mathematics and Financial Economics | 2020-02-21 | Paper |
Constructive covers of a finite set
(available as arXiv preprint) | 2020-01-01 | Paper |
Set-valued shortfall and divergence risk measures
International Journal of Theoretical and Applied Finance | 2017-09-08 | Paper |
A characterization theorem for Aumann integrals
Set-Valued and Variational Analysis | 2015-06-01 | Paper |
