Alfred Müller

University of Siegen

Department Mathematik

Walter-Flex-Str. 3

57068 Siegen

Germany

SCHOLARLY PAPERS

14

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24

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2

Scholarly Papers (14)

1.

Generalized Quantiles as Risk Measures

Number of pages: 23 Posted: 02 Mar 2013 Last Revised: 15 Aug 2013
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Karlsruhe Institute of Technology, University of Siegen and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 497 (70,234)
Citation 14

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expectile, coherence, elicitability, Kusuoka representation, robustness

2.

Between First and Second-Order Stochastic Dominance

Management Science 63, 2933–2947
Number of pages: 44 Posted: 08 Aug 2015 Last Revised: 02 Jan 2018
University of Siegen, LUISS, Dipartimento di Economia e Finanza, INSEAD and Duke University - Fuqua School of Business
Downloads 383 (95,596)
Citation 7

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Stochastic Dominance, Transfers, Indirect Utility

3.

On Consistency of the Omega Ratio with Stochastic Dominance Rules

Number of pages: 13 Posted: 23 Jun 2017
Bernhard Klar and Alfred Müller
Karlsruhe Institute of Technology and University of Siegen
Downloads 138 (255,829)
Citation 1

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Omega Ratio, Stochastic Dominance, Expectiles, Integrated Distribution Function

4.

Expectiles, Omega Ratios and Stochastic Ordering

Number of pages: 19 Posted: 08 Jun 2016
Fabio Bellini, Bernhard Klar and Alfred Müller
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Karlsruhe Institute of Technology and University of Siegen
Downloads 117 (289,361)
Citation 4

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Expectile order, Omega ratio, stop-loss transform, third-order stochastic dominance, skew-normal distribution, Lomax distribution

5.

Ranking Distributions when only Means and Variances are Known

INSEAD Working Paper No. 2020/36/DSC, Forthcoming in Operations Research
Number of pages: 15 Posted: 21 Aug 2019 Last Revised: 05 Aug 2020
University of Siegen, LUISS, Dipartimento di Economia e Finanza, INSEAD and Duke University - Fuqua School of Business
Downloads 104 (313,891)
Citation 1

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Decision analysis: stochastic dominance, utility, risk. Probability: distribution comparisons

6.

Probabilistic Forecasting of Electricity Load with Inhomogeneous Markov Switching Models

Number of pages: 20 Posted: 19 Apr 2017
Kevin Berk, Alexander Hoffmann and Alfred Müller
University of Siegen, University of Siegen and University of Siegen
Downloads 97 (328,584)
Citation 1

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electricity load forecasting, probabilistic forecasting, time series models, seasonality, inhomogeneous Markov switching model, regime-switching models

7.

Decisions with Several Objectives under Uncertainty: Sufficient Conditions for Multivariate Almost Stochastic Dominance Based on Means and Variances

INSEAD Working Paper No. 2021/26/DSC
Number of pages: 25 Posted: 26 May 2021
University of Siegen, LUISS, Dipartimento di Economia e Finanza, INSEAD and Duke University - Fuqua School of Business
Downloads 27 (581,765)

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Multivariate Almost Stochastic Dominance, Transfers, Sufficient Conditions for Dominance, Choice between Lotteries, Mean and Variance

8.

Probabilistic Forecasting of Medium-Term Electricity Demand: A Comparison of Time Series Models

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 20 Posted: 14 Jun 2016
Kevin Berk and Alfred Müller
University of Siegen and University of Siegen
Downloads 0 (794,867)
Citation 1
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electricity load forecasting, probabilistic forecasting, time series models, seasonality, continuous ranked probability score (CRPS)

9.

Fear of Loss, Inframodularity, and Transfers

Journal of Economic Theory, Vol. 147, 2012
Posted: 13 Mar 2012 Last Revised: 13 Jul 2013
Alfred Müller and Marco Scarsini
University of Siegen and LUISS, Dipartimento di Economia e Finanza

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Mean preserving spread, Integral stochastic orders, Risk aversion, Ultramodularity, Dual cones

10.

Sensitivity Analysis of a Sequential Decision Problem with Learning

Mathematical Methods of Operations Research, Vol. 57, No. 2, 2003
Posted: 13 Mar 2012
Alfred Müller and Marco Scarsini
University of Siegen and LUISS, Dipartimento di Economia e Finanza

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Coin tossing, Bayesian dynamic programming, beta distribution, conjugate prior, risk aversion, stochastic comparison

11.

Even Risk-Averters May Love Risk

Theory and Decision, Vol. 52, No. 1, 2002
Posted: 13 Mar 2012
Alfred Müller and Marco Scarsini
University of Siegen and LUISS, Dipartimento di Economia e Finanza

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Coin tossing, Exchangeable random variables, Games of chance, Learning, Risk Aversion, Stochastic comparison

12.

The Newsvendor Game Has a Nonempty Core

Games and Economic Behavior, Vol. 38, No. 1, 2002
Posted: 13 Mar 2012
Alfred Müller, Marco Scarsini and Moshe Shaked
University of Siegen, LUISS, Dipartimento di Economia e Finanza and affiliation not provided to SSRN

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cost allocation, inventory centralization, core

13.

Stochastic Comparison of Random Vectors with a Common Copula

Mathematics of Operations Research, Vol. 26, No. 4, pp. 723-740, 2001
Posted: 13 Mar 2012
Alfred Müller and Marco Scarsini
University of Siegen and LUISS, Dipartimento di Economia e Finanza

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Directionally convex order, local mean preserving spread, copula, conditionally increasing random vectors, convex ordering, portfolio optimization

14.

Positive Dependence and Weak Convergence

Journal of Applied Probability, Vol. 43, No. 1, 2006
Posted: 13 Mar 2012
Antonio Colangelo, Alfred Müller and Marco Scarsini
European Central Bank (ECB), University of Siegen and LUISS, Dipartimento di Economia e Finanza

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Affiliation, MTP2, conditionally increasing in sequence, conditionally increasing