Zachary Feinstein

Available identifiers

zbMath Open feinstein.zacharyMaRDI QIDQ486927

List of research outcomes

Publication	Date of Publication	Type
Technical note -- Characterizing and computing the set of Nash equilibria via vector optimization	2024-12-20	Paper
Short communication: on the separability of vector-valued risk measures	2024-12-04	Paper
Deep learning the efficient frontier of convex vector optimization problems	2024-10-14	Paper
Interbank asset-liability networks with fire sale management	2023-11-15	Paper
Decentralized payment clearing using blockchain and optimal bidding	2023-07-10	Paper
Contagious McKean-Vlasov systems with heterogeneous impact and exposure	2023-07-06	Paper
Optimal network compression	2023-07-03	Paper
Contingent Convertible Obligations and Financial Stability	2023-03-31	Paper
Endogenous inverse demand functions	2022-12-01	Paper
Endogenous Distress Contagion in a Dynamic Interbank Model	2022-11-28	Paper
Continuity and sensitivity analysis of parameterized Nash games	2022-11-23	Paper
Short communication: clearing prices under margin calls and the short squeeze	2022-11-04	Paper
Pricing of debt and equity in a financial network with comonotonic endowments	2022-09-19	Paper
Set-valued dynamic risk measures for processes and for vectors	2022-07-05	Paper
Scalar multivariate risk measures with a single eligible asset	2022-06-27	Paper
Time consistency for scalar multivariate risk measures	2022-02-18	Paper
Price mediated contagion through capital ratio requirements with VWAP liquidation prices	2021-11-09	Paper
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems	2021-11-05	Paper
A repo model of fire sales with VWAP and LOB pricing mechanisms	2021-11-05	Paper
Set-valued risk measures as backward stochastic difference inclusions and equations	2021-04-29	Paper
A machine learning efficient frontier	2021-04-07	Paper
Obligations with physical delivery in a multilayered financial network	2020-02-14	Paper
Capital regulation under price impacts and dynamic financial contagion	2019-11-06	Paper
Impact of contingent payments on systemic risk in financial networks	2019-08-30	Paper
Optimization of fire sales and borrowing in systemic risk	2019-05-14	Paper
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities	2019-03-20	Paper
Financial contagion and asset liquidation strategies	2019-02-22	Paper
A supermartingale relation for multivariate risk measures	2019-02-06	Paper
Measures of systemic risk	2018-03-12	Paper
The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks	2017-10-10	Paper
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle	2017-05-22	Paper
A comparison of techniques for dynamic multivariate risk measures	2016-05-13	Paper
Multi-portfolio time consistency for set-valued convex and coherent risk measures	2015-01-19	Paper
Time consistency of dynamic risk measures in markets with transaction costs	2014-02-20	Paper

Research outcomes over time

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