Drapeau, Samuel; Luo, Peng; Schied, Alexander; Xiong, Dewen An FBSDE approach to market impact games with stochastic parameters. (English) Zbl 1492.91141 Probab. Uncertain. Quant. Risk 6, No. 3, 237-260 (2021). MSC: 91B26 91A80 93E20 60H30 PDFBibTeX XMLCite \textit{S. Drapeau} et al., Probab. Uncertain. Quant. Risk 6, No. 3, 237--260 (2021; Zbl 1492.91141) Full Text: DOI arXiv
Tadese, Mekonnen; Drapeau, Samuel Dual representation of expectile-based expected shortfall and its properties. (English) Zbl 1473.62354 Probab. Uncertain. Quant. Risk 6, No. 2, 99-116 (2021). MSC: 62P05 91B05 91B16 91G70 PDFBibTeX XMLCite \textit{M. Tadese} and \textit{S. Drapeau}, Probab. Uncertain. Quant. Risk 6, No. 2, 99--116 (2021; Zbl 1473.62354) Full Text: DOI arXiv
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis Multivariate shortfall risk allocation and systemic risk. (English) Zbl 1408.91236 SIAM J. Financ. Math. 9, No. 1, 90-126 (2018). MSC: 91G70 91B30 91G60 62H10 PDFBibTeX XMLCite \textit{Y. Armenti} et al., SIAM J. Financ. Math. 9, No. 1, 90--126 (2018; Zbl 1408.91236) Full Text: DOI arXiv
Drapeau, Samuel; Hamel, Andreas H.; Kupper, Michael Complete duality for quasiconvex and convex set-valued functions. (English) Zbl 1338.49078 Set-Valued Var. Anal. 24, No. 2, 253-275 (2016). MSC: 49N15 46A20 PDFBibTeX XMLCite \textit{S. Drapeau} et al., Set-Valued Var. Anal. 24, No. 2, 253--275 (2016; Zbl 1338.49078) Full Text: DOI arXiv
Bielecki, Tomasz R.; Cialenco, Igor; Drapeau, Samuel; Karliczek, Martin Dynamic assessment indices. (English) Zbl 1414.91420 Stochastics 88, No. 1, 1-44 (2016). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Stochastics 88, No. 1, 1--44 (2016; Zbl 1414.91420) Full Text: DOI arXiv
Drapeau, Samuel; Jamneshan, Asgar Conditional preference orders and their numerical representations. (English) Zbl 1368.91091 J. Math. Econ. 63, 106-118 (2016). MSC: 91B16 91B08 91B06 PDFBibTeX XMLCite \textit{S. Drapeau} and \textit{A. Jamneshan}, J. Math. Econ. 63, 106--118 (2016; Zbl 1368.91091) Full Text: DOI arXiv
Cheridito, Patrick; Drapeau, Samuel; Kupper, Michael Weak closedness of monotone sets of lotteries and robust representation of risk preferences. (English) Zbl 1269.91030 Biagini, Francesca (ed.) et al., Risk measures and attitudes. In part based on a conference, Munich, Germany, December 2010. London: Springer (ISBN 978-1-4471-4925-5/pbk; 978-1-4471-4926-2/ebook). EAA Series, 3-9 (2013). MSC: 91B06 91B30 60E15 PDFBibTeX XMLCite \textit{P. Cheridito} et al., in: Risk measures and attitudes. In part based on a conference, Munich, Germany, December 2010. London: Springer. 3--9 (2013; Zbl 1269.91030) Full Text: DOI
Drapeau, Samuel; Kupper, Michael; Reda, Ranja A note on robust representations of law-invariant quasiconvex functions. (English) Zbl 1341.91039 Kusuoka, Shigeo (ed.) et al., Advances in mathematical economics. Vol. 15. Tokyo: Springer (ISBN 978-4-431-53929-2/hbk; 978-4-431-54086-1/pbk; 978-4-431-53930-8/ebook). Advances in Mathematical Economics 15, 27-39 (2011). MSC: 91B02 91B06 91B30 PDFBibTeX XMLCite \textit{S. Drapeau} et al., Adv. Math. Econ. 15, 27--39 (2011; Zbl 1341.91039) Full Text: DOI