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Connection between higher order measures of risk and stochastic dominance
Pichler, Alois - In: Computational management science 21 (2024) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10015195788
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Risk-averse bargaining in a stochastic optimization context
Gutjahr, Walter J.; Kovacevic, Raimund; Wozabal, David - In: Manufacturing & service operations management : M & SOM 25 (2023) 1, pp. 323-340
Persistent link: https://www.econbiz.de/10014299605
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The 1/N investment strategy is optimal under high model ambiguity
Pflug, Georg; Pichler, Alois; Wozabal, David - In: Journal of banking & finance 36 (2012) 2, pp. 410-417
Persistent link: https://www.econbiz.de/10009511313
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Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
Persistent link: https://www.econbiz.de/10011434903
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Entropy based risk measures
Pichler, Alois; Schlotter, Ruben - In: European journal of operational research : EJOR 285 (2020) 1, pp. 223-236
Persistent link: https://www.econbiz.de/10012239544
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Can commodities dominate stock and bond portfolios?
Henriksen, Tom Erik Sønsteng; Pichler, Alois; … - In: Application of operations research to financial markets, (pp. 155-177). 2019
Persistent link: https://www.econbiz.de/10012157408
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Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
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Risk-averse stochastic programming : time consistency and optimal stopping
Pichler, Alois; Liu, Rui Peng; Shapiro, Alexander - In: Operations research 70 (2022) 4, pp. 2439-2455
Persistent link: https://www.econbiz.de/10013366477
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Risk-averse optimal control in continuous time by nesting risk measures
Pichler, Alois; Schlotter, Ruben - In: Mathematics of operations research 48 (2023) 3, pp. 1657-1678
Persistent link: https://www.econbiz.de/10014329353
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The natural Banach space for version independent risk measures
Pichler, Alois - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 405-415
Persistent link: https://www.econbiz.de/10010195914