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Alois Pichler
Alois Pichler
Dirección de correo verificada de math.tu-chemnitz.de - Página principal
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Multistage stochastic optimization
GC Pflug, A Pichler
Springer International Publishing, 2014
3472014
The 1/N investment strategy is optimal under high model ambiguity
GC Pflug, A Pichler, D Wozabal
Journal of Banking & Finance 36 (2), 410-417, 2012
2502012
A distance for multistage stochastic optimization models
GC Pflug, A Pichler
SIAM Journal on Optimization 22 (1), 1-23, 2012
1942012
Stochastic multi-objective optimization: a survey on non-scalarizing methods
WJ Gutjahr, A Pichler
Annals of Operations Research 236, 475-499, 2016
1782016
Dynamic generation of scenario trees
GC Pflug, A Pichler
Computational Optimization and Applications 62, 641-668, 2015
1142015
Approximations for probability distributions and stochastic optimization problems
GC Pflug, A Pichler
Stochastic optimization methods in finance and energy: New financial …, 2011
942011
Stochastic short-term hydropower planning with inflow scenario trees
S Séguin, SE Fleten, P Côté, A Pichler, C Audet
European Journal of Operational Research 259 (3), 1156-1168, 2017
842017
Time-consistent decisions and temporal decomposition of coherent risk functionals
GC Pflug, A Pichler
Mathematics of Operations Research 41 (2), 682-699, 2016
782016
The natural Banach space for version independent risk measures
A Pichler
Insurance: Mathematics and Economics 53 (2), 405-415, 2013
682013
Time-inconsistent multistage stochastic programs: Martingale bounds
GC Pflug, A Pichler
European Journal of Operational Research 249 (1), 155-163, 2016
66*2016
From empirical observations to tree models for stochastic optimization: convergence properties
GC Pflug, A Pichler
SIAM Journal on Optimization 26 (3), 1715-1740, 2016
632016
Evaluations of risk measures for different probability measures
A Pichler
SIAM Journal on Optimization 23 (1), 530-551, 2013
532013
Quantitative stability analysis for minimax distributionally robust risk optimization
A Pichler, H Xu
Mathematical Programming 191 (1), 47-77, 2022
462022
Entropy based risk measures
A Pichler, R Schlotter
European Journal of Operational Research 285 (1), 223-236, 2020
452020
Tree approximation for discrete time stochastic processes: a process distance approach
RM Kovacevic, A Pichler
Annals of operations research 235 (1), 395-421, 2015
392015
A quantitative comparison of risk measures
A Pichler
Annals of Operations Research 254, 251-275, 2017
362017
Premiums and reserves, adjusted by distortions
A Pichler
Scandinavian Actuarial Journal 2015 (4), 332-351, 2015
322015
Minimal representation of insurance prices (Uniqueness of Kusuoka representations)
A Pichler, A Shapiro
Insurance: Mathematics and Economics, 2015 62, 184–193, 2012
32*2012
Fundamental properties of process distances
JB Veraguas, M Beiglböck, M Eder, A Pichler
Stochastic Processes and their Applications 130 (9), 5575-5591, 2020
292020
An analytical study of norms and Banach spaces induced by the entropic value-at-risk
A Ahmadi-Javid, A Pichler
Mathematics and Financial Economics 11 (4), 527-550, 2017
282017
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Artículos 1–20