Scholar
Martin Herdegen
Google Scholar ID: BWCqmbkAAAAJ
Professor of Mathematics, University of Stuttgart
Citations & Impact
Citations
323
H-index
10
i10-index
11
Publications
20
Co-authors
18
list available
Publications
Resume (English only)
Academic Achievements
- 2024, 'Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets' (Preprint)
- 2024, 'Market Making with Exogenous Competition' (Preprint)
- 2024, 'Risk, utility and sensitivity to large losses' (Preprint)
- 2024, 'Portfolio Optimization under Transaction Costs with Recursive Preferences' (Preprint)
- 2022, 'When is Recursive Utility Well-Founded?' (Preprint)
- 2022, 'Vague and weak convergence for signed measures' (Preprint)
- 2022, 'A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem' (Preprint)
- 2024, 'Proper solutions for Epstein-Zin Stochastic Differential Utility', Finance and Stochastics (to appear)
- 2024, 'ρ-arbitrage and ρ-consistent pricing for star-shaped risk measures', Mathematics of Operations Research (to appear)
- 2023, 'An elementary proof of the dual representation of Expected Shortfall', Mathematics and Financial Economics, Vol. 17, pp. 655–662
- Co-developed Mbt-gym: a reinforcement learning platform for model-based limit order book trading
