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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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Systemic risk and copula models
Pflug, Georg; Pichler, Alois - In: Central European journal of operations research : CEJOR … 26 (2018) 2, pp. 465-483
Persistent link: https://www.econbiz.de/10011866135
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An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Ahmadi-Javid, Amir; Pichler, Alois - In: Mathematics and financial economics 11 (2017) 4, pp. 527-550
Persistent link: https://www.econbiz.de/10011900598
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Risk aversion in imperfect natural gas markets
Egging, Ruud; Pichler, Alois; Kalvø, Øyvind Iversen; … - In: European journal of operational research : EJOR 259 (2017) 1, pp. 367-383
Persistent link: https://www.econbiz.de/10011644997
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Nonlinear stochastic programming : with a case study in continuous switching
Pichler, Alois; Tomasgard, Asgeir - In: European journal of operational research : EJOR 252 (2016) 2, pp. 487-501
Persistent link: https://www.econbiz.de/10011457699
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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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Fractional risk process in insurance
Kumar, Arun; Leonenko, Nikolaj; Pichler, Alois - In: Mathematics and financial economics 14 (2020) 1, pp. 43-65
Persistent link: https://www.econbiz.de/10012239969
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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