Alois Pichler

Prof

Chemnitz University of Technology

Germany

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Articles (15)

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2024

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2024

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2024

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2023

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2023

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2022

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2022

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2022

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2021

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2020

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2020

Collaborators (3)

Giorgio CONSIGLI

University of Bergamo

ITALY

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Ruben Schlotter

Chemnitz University of Technology

GERMANY

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Miloš Kopa

VSB - Technical University of Ostrava

CZECH REPUBLIC

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Alois Pichler

Research Interests

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Articles (15)

Connection between higher order measures of risk and stochastic dominance

Unbalanced Optimal Transport and Maximum Mean Discrepancies: Interconnections and Rapid Evaluation

Portfolio reshaping under 1st-order stochastic dominance constraints by the exact penalty function methods

Risk-Averse Optimal Control in Continuous Time by Nesting Risk Measures

Conditional Distributionally Robust Functionals

Mortality in Germany during the COVID-19 Pandemic

Soft Quantization Using Entropic Regularization

Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance

Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping

The nested Sinkhorn divergence to learn the nested distance

Quantification of risk in classical models of finance

Quantitative stability analysis for minimax distributionally robust risk optimization

Mathematical Foundations of Distributionally Robust Multistage Optimization

Martingale characterizations of risk-averse stochastic optimization problems

ScenTrees.jl: A Julia Package for Generating Scenario Trees and Scenario Lattices for Multistage Stochastic Programming

Collaborators (3)

Giorgio CONSIGLI

Ruben Schlotter

Miloš Kopa

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