9
H index
7
i10 index
259
Citations
Johannes M. Schumacher : Citation Profile
Universiteit van Amsterdam | RESEARCH PRODUCTION: 24 Articles 90 Papers RESEARCH ACTIVITY:
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42 years (1980 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Johannes M. Schumacher. | Is cited by:
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Main data
Where Johannes M. Schumacher has published?
Recent works citing Johannes M. Schumacher (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977. Full description at Econpapers || Download paper |
| 2024 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper |
| 2023 | Conditional generalized quantiles based on expected utility model and equivalent characterization of properties. (2023). Zhang, Ping ; Yang, Fan ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2301.12420. Full description at Econpapers || Download paper |
| 2023 | A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules. (2023). Niakh, Fallou. In: Papers. RePEc:arx:papers:2303.05421. Full description at Econpapers || Download paper |
| 2024 | The uniform diversification strategy is optimal for expected utility maximization under high model ambiguity. (2023). Wiesel, Johannes ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2306.01503. Full description at Econpapers || Download paper |
| 2024 | Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach. (2023). Wong, Hoi Ying ; Pun, Chi Seng ; Han, Bingyan. In: Papers. RePEc:arx:papers:2306.16982. Full description at Econpapers || Download paper |
| 2024 | Uncertainty Propagation and Dynamic Robust Risk Measures. (2023). Pesenti, Silvana ; Mailhot, M'Elina ; Moresco, Marlon. In: Papers. RePEc:arx:papers:2308.12856. Full description at Econpapers || Download paper |
| 2023 | Optimal multivariate financial decision making. (2023). Vanduffel, Steven ; de Gennaro, L ; Bernard, C. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:1:p:468-483. Full description at Econpapers || Download paper |
| 2024 | Market equilibrium strategies under learning by doing and spillovers. (2024). Wirl, Franz ; Eigruber, Markus. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000550. Full description at Econpapers || Download paper |
| 2023 | Knowledge mapping of model risk in banking. (2023). Torluccio, Giuseppe ; Rimo, Giuseppe ; Cosma, Simona. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003162. Full description at Econpapers || Download paper |
| 2023 | A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
Works by Johannes M. Schumacher:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2005 | COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS In: Mathematical Finance. [Full Text][Citation analysis] | article | 39 |
| 2013 | Membership conditions for consistent families of monetary valuations In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
| 2013 | Membership conditions for consistent families of monetary valuations.(2013) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Distortion risk measures, ROC curves, and distortion divergence In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
| 2018 | LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 9 |
| 2021 | A note on Golliers model for a collective pension scheme In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2009 | Welfare analysis of conditional indexation schemes from a two-reference-point perspective* In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 1999 | Strategic behavior and noncooperative hierarchical control In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2007 | Time consistency conditions for acceptability measures, with an application to Tail Value at Risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 25 |
| 2011 | The strictest common relaxation of a family of risk measures In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2011 | The strictest common relaxation of a family of risk measures.(2011) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | Cooperative investment in incomplete markets under financial fairness In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
| 2017 | Multi-period risk sharing under financial fairness In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2015 | Multi-Period Risk Sharing under Financial Fairness.(2015) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2010 | Model risk and capital reserves In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 64 |
| 2011 | Risk aversion for nonsmooth utility functions In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Risk aversion for nonsmooth utility functions.(2011) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | The composite iteration algorithm for finding efficient and financially fair risk-sharing rules In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 3 |
| 2021 | Ex-ante estate division under strong Pareto efficiency In: Mathematical Social Sciences. [Full Text][Citation analysis] | article | 0 |
| 2022 | Jump Equilibria in Public-Good Differential Games with a Single State Variable In: Dynamic Games and Applications. [Full Text][Citation analysis] | article | 1 |
| 2016 | Weakly time consistent concave valuations and their dual representations In: Finance and Stochastics. [Full Text][Citation analysis] | article | 1 |
| 2016 | Weakly time consistent concave valuations and their dual representations.(2016) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2016 | Weakly time consistent concave valuations and their dual representations.(2016) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 1999 | Asymptotic Analysis of Linear Feedback Nash Equilibria in Nonzero-Sum Linear-Quadratic Differential Games In: Journal of Optimization Theory and Applications. [Full Text][Citation analysis] | article | 18 |
| 2003 | Robust Equilibria in Indefinite Linear-Quadratic Differential Games In: Journal of Optimization Theory and Applications. [Full Text][Citation analysis] | article | 19 |
| 2003 | Robust equilibria in indefinite linear-quadratic differential games.(2003) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2018 | A Multi-Objective Interpretation of Optimal Transport In: Journal of Optimization Theory and Applications. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 1 | |
| 2016 | Financial fairness and conditional indexation.(2016) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 1999 | Disturbance Decoupling in Dynamic Games In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Disturbance Decoupling in Dynamic Games.(1999) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2002 | An Irregular Grid Approach for Pricing High Dimensional American Options In: Discussion Paper. [Full Text][Citation analysis] | paper | 1 |
| 2004 | An Irregular Grid Approach for Pricing High-Dimensional American Options.(2004) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2002 | An Irregular Grid Approach for Pricing High Dimensional American Options.(2002) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2004 | An Irregular Grid Approach for Pricing High-Dimensional American Options.(2004) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2002 | Model Risk and Regulatory Capital In: Discussion Paper. [Full Text][Citation analysis] | paper | 9 |
| 2002 | Model Risk and Regulatory Capital.(2002) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2004 | Pricing High-Dimensional American Options Using Local Consistency Conditions In: Discussion Paper. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Pricing High-Dimensional American Options Using Local Consistency Conditions.(2004) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2003 | Testing Expected Shortfall Models for Derivative Positions In: Discussion Paper. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Testing Expected Shortfall Models for Derivative Positions.(2003) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2004 | Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options.(2004) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1999 | Performance of Delta-hedging strategies in interval models - A robustness study In: Discussion Paper. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Performance of Delta-hedging strategies in interval models - A robustness study.(1999) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2012 | Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model.(2012) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2000 | A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2000 | A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances.(2000) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1988 | Discrete events : Perspectives from system theory In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Discrete events : Perspectives from system theory.(1988) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1989 | Discrete events : perspectives from system theory.(1989) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1990 | System-theoretic trends in econometrics In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
| 1990 | System-theoretic trends in econometrics.(1990) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1994 | Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games : The two player case In: Research Memorandum. [Full Text][Citation analysis] | paper | 23 |
| 1994 | Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games : The two player case.(1994) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 1985 | A geometric approach to the singular filtering problem In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 1 |
| 1986 | The regular local noninteracting control problem for nonlinear control systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1994 | Interpretations of the gap topology : a survey In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1996 | On behaviors and convolutional codes In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 3 |
| 1997 | Realization by inspection In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Robust control of flexible structures : a case study In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1993 | Information and entropy In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Homogeneous behaviors In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1990 | State representations of linear systems with output constraints In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Observer-based control of linear complementarity systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 1 |
| 1990 | Realization of autoregressive equations in pencil and descriptor form In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 1 |
| 1984 | Almost stabilizability subspaces and high gain feedback In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1994 | Continuity of singular perturbations in the graph topology In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1991 | Minimality of descriptor representations under external equivalence In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Regulation as an interpolation problem In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Well-posedness of a class of linear networks with ideal diodes In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1983 | Finite-dimensional regulators for a class of infinite-dimensional systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1992 | Realization and partial fractions In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1983 | The algebraic regulator problem from the state-space point of view In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2002 | On the dynamic analysis of piecewise-linear networks In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1983 | A direct approach to compensator design for distributed parameter systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Linear complimentarity systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 4 |
| 1980 | Compensator synthesis using (C,A,B)-pairs In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1984 | A nine-fold canonical decomposition for linear systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2016 | An Evaluation of the nFTK In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 2 |
| 1996 | Impulsive-Smooth Behavior in Multimode Systems. Part II : Minimality and Equivalence In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1985 | Zeros at infinity for affine nonlinear control systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1980 | Well-posedness of some evolution problems in the theory of automatic feed-back control for systems with distributed parameters In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Vergelijkingen In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1983 | On the structure of strongly controllable systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Consistency of a time-stepping method for a class of piecewise-linear networks In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Generic eigenvalue assignment by memoryless real output feedback In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 2 |
| 2011 | A Cohort-Specific Approach to Retirement Savings In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1993 | Input/output structure of linear differential/algebraic systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1980 | A complement on pole placement In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1994 | [Review of the book Identification and Stochastic Adaptive Control, H.F. Chen & L. Guo, 1991] In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1997 | A controlability test for general first-order representations In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1982 | Regulator synthesis using (C,A,B)-pairs In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Feedback Nash equilibria in uncertain infinite time horizon differential games In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 2 |
| 1983 | On a conjecture of Basile and Marro In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1984 | Les systèmes non linéaires à plus dentrées que de sorties ne sont pas inversibles In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1983 | The role of the dissipation matrix in singular optimal control In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 2 |
| 1995 | The regulator problem with robust stability In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2003 | An equivalence result in linear-quadratic theory In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 13 |
| 1994 | [Review of the book Controlled and Conditioned Invariants in Linear System Theory, G. Basile & G. Marro, 1992] In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Coordination in continuously repeated games In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Linear passive systems and maximal monotone mappings In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 1 |
| 1980 | On the minimal stable observer problem In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1985 | On the inherent integration structure of nonlinear systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1992 | A pointwise criterion for controller robustness In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1996 | [Review of the book H [infinity]-Control for Distributed Parameter Systems: A State-space Approach, B. van Keulen, 1993] In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1983 | Algebraic characterizations of almost invariance In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Transformations of linear systems under external equivalence In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Actuariële wetenschappen en financiële wiskunde : op weg naar convergentie? In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1996 | The complementary-slackness class of hybrid systems In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Impulsive-Smooth Behavior in Multimode Systems. Part I : State-Space and Polynomial Representations In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
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