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A set optimization approach to zero-sum matrix games with multi-dimensional payoffs
Hamel, Andreas; Löhne, Andreas - In: Mathematical methods of operations research 88 (2018) 3, pp. 369-397
Persistent link: https://www.econbiz.de/10011949742
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A set optimization approach to utility maximization under transaction costs
Hamel, Andreas; Calder-Wang, Sophie - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 257-275
Persistent link: https://www.econbiz.de/10011997740
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Set relations via families of scalar functions and approximate solutions in set optimization
Crespi, Giovanni Paolo; Hamel, Andreas; Rocca, Matteo; … - In: Mathematics of operations research 46 (2021) 1, pp. 361-381
Persistent link: https://www.econbiz.de/10012498199
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Ekeland's variational principle with weighted set order relations
Ansari, Qamrul Hasan; Hamel, Andreas; Sharma, Pradeep Kumar - In: Mathematical methods of operations research : ZOR 91 (2020) 1, pp. 117-136
Persistent link: https://www.econbiz.de/10012229508
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Credit default swaps and the stability of the banking sector
Heyde, Frank; Neyer, Ulrike - In: International review of finance 10 (2010) 1, pp. 27-61
Persistent link: https://www.econbiz.de/10003970493
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Set-valued duality theory for multiple objective linear programs and application to mathematical finance
Heyde, Frank; Löhne, Andreas; Tammer, Christiane - In: Mathematical methods of operations research 69 (2009) 1, pp. 159-179
Persistent link: https://www.econbiz.de/10003858104
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An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10010363905
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Time consistency of the mean-risk problem
Kováčová, Gabriela; Rudloff, Birgit - In: Operations research 69 (2021) 4, pp. 1100-1117
Persistent link: https://www.econbiz.de/10012625134
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Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization
Rudloff, Birgit; Ulus, Firdevs - In: Mathematics and financial economics 15 (2021) 2, pp. 397-430
Persistent link: https://www.econbiz.de/10012500037
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Technical note: characterizing and computing the set of nash equilibria via vector optimization
Feinstein, Zachary; Rudloff, Birgit - In: Operations research 72 (2024) 5, pp. 2082-2096
Persistent link: https://www.econbiz.de/10015361768