Nikolaus Schweizer

Tilburg School of Economics and Management

PO Box 90153

Tilburg, 5000 LE Ti

Netherlands

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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14

CROSSREF CITATIONS

7

Scholarly Papers (18)

1.

Robust Measurement of (Heavy-Tailed) Risks: Theory and Implementation

Number of pages: 37 Posted: 14 Oct 2013 Last Revised: 23 Mar 2015
Judith C. Schneider and Nikolaus Schweizer
Leibniz Universität Hannover - Faculty of Economics and Management and Tilburg School of Economics and Management
Downloads 296 (155,899)
Citation 3

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Robustness, Model Risk, Worst-Case Risk, Risk Management, Kullback-Leibler Divergence, Divergence Estimation, Sequential Monte Carlo

2.

Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk

Number of pages: 36 Posted: 21 Dec 2012 Last Revised: 30 Dec 2013
Stefan Ankirchner, Judith C. Schneider and Nikolaus Schweizer
University of Bonn, Leibniz Universität Hannover - Faculty of Economics and Management and Tilburg School of Economics and Management
Downloads 265 (174,763)
Citation 4

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Basis risk, least-squares Monte Carlo, liquidity risk, margin calls, model risk, periodic premia, variable annuities

3.
Downloads 244 (188,810)
Citation 1

Information Nudges and Self Control

Number of pages: 40 Posted: 01 May 2018
Thomas Mariotti, Nikolaus Schweizer and Nora Szech
University of Toulouse I, Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 164 (272,152)
Citation 1

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Information Design, Information Nudge, Present-Biased Preferences, Self Control

Information Nudges and Self-Control

CESifo Working Paper No. 7346
Number of pages: 64 Posted: 21 Feb 2019
University of Toulouse I, Tilburg School of Economics and Management, Karlsruhe Institute of Technology and Free University of Berlin (FUB)University of Bonn - Department of Economics
Downloads 80 (457,414)

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information design, information nudges, present-biased preferences, self-control

4.

Estimating Residual Hedging Risk with Least-Squares Monte Carlo

Number of pages: 30 Posted: 30 Oct 2012 Last Revised: 06 Mar 2013
Stefan Ankirchner, Christian Pigorsch and Nikolaus Schweizer
University of Bonn, Ludwig Maximilian University of Munich (LMU) - Department of Statistics and Tilburg School of Economics and Management
Downloads 239 (193,403)
Citation 3

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basis risk, cross-hedging, hedging error, incomplete markets, least-squares Monte Carlo

5.
Downloads 204 (224,569)
Citation 1

Institutions, Shared Guilt, and Moral Transgression

CESifo Working Paper Series No. 5525
Number of pages: 50 Posted: 19 Oct 2015
Dominik Rothenhäusler, Nikolaus Schweizer and Nora Szech
University of Bonn, Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 118 (352,995)

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moral decision making, division of labor, shared guilt, diffusion of responsibility, institutions and morals, committee decisions, moral transgression

Institutions, Shared Guilt, and Moral Transgression

Number of pages: 37 Posted: 05 Jul 2013
Dominik Rothenhäusler, Nikolaus Schweizer and Nora Szech
University of Bonn, Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 86 (437,746)
Citation 1

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Moral Decision Making, Shared Guilt, Group Absolution, Di ffused Responsibility, Institutional Design, Committee Decisions, Moral Transgression

6.

Time-Consistency of Optimal Investment under Smooth Ambiguity

Number of pages: 35 Posted: 22 Sep 2017 Last Revised: 28 Feb 2019
Anne Balter, Antje Brigitte Mahayni and Nikolaus Schweizer
Tilburg University, Mercator School of Management and Tilburg School of Economics and Management
Downloads 173 (259,690)
Citation 1

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Optimal Investment, Smooth Ambiguity, Ambiguity Aversion, Time-Consistency, Pre-Commitment

7.

The Quantitative View of Myerson Regularity

CESifo Working Paper Series No. 5712
Number of pages: 36 Posted: 23 Feb 2016
Nikolaus Schweizer and Nora Szech
Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 141 (307,490)

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λ-regularity, Myerson regularity, monotone hazard rate, auctions, mechanism design, approximation

8.

Precautionary Saving and Insurance Under Generalized Mean-Variance Preferences

Number of pages: 31 Posted: 30 Mar 2017
University of Münster - Finance Center Muenster, Mercator School of Management, Tilburg School of Economics and Management and University of Duisburg-Essen - Mercator School of Management
Downloads 89 (424,912)

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Precautionary saving, insurance, mean variance preferences

9.

Robust Decisions for Heterogeneous Agents via Certainty Equivalents

Number of pages: 35 Posted: 08 Jul 2021
Anne Balter and Nikolaus Schweizer
Tilburg University and Tilburg School of Economics and Management
Downloads 81 (449,383)
Citation 1

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10.

The Joint Impact of F-Divergences and Reference Models on the Contents of Uncertainty Sets

Number of pages: 20 Posted: 02 Aug 2018
Thomas Kruse, Judith C. Schneider and Nikolaus Schweizer
Justus Liebig University Giessen, Leibniz Universität Hannover - Faculty of Economics and Management and Tilburg School of Economics and Management
Downloads 80 (452,687)
Citation 1

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F-Divergences, Model Risk, Robustness

11.

Optimal Revelation of Life-Changing Information

CESifo Working Paper Series No. 5941
Number of pages: 39 Posted: 07 Jul 2016
Nikolaus Schweizer and Nora Szech
Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 76 (466,185)
Citation 4

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test design, revelation of information, design of beliefs, medical tests, anticipatory utility, Huntington’s Disease

12.

Limited Attention and Dynamically Distorted Beliefs

Number of pages: 50 Posted: 09 Aug 2022
Nikolaus Schweizer and Martijn de Vries
Tilburg School of Economics and Management and Vrije Universiteit Amsterdam
Downloads 50 (573,076)

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Limited Attention, Inattentive Learning, Distorted Beliefs, Prospect Theory

13.

Revenues and Welfare in Auctions with Information Release

CESifo Working Paper Series No. 5501
Number of pages: 37 Posted: 06 Oct 2015
Nikolaus Schweizer and Nora Szech
Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 46 (593,246)

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auctions, information release, information partitions, order statistics, stochastic orders, dispersion, dispersive order, excess wealth order

14.

Solving Maxmin Optimization Problems via Population Games

Number of pages: 34 Posted: 15 Nov 2022
Anne Balter, Johannes M. Schumacher and Nikolaus Schweizer
Tilburg University, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg School of Economics and Management
Downloads 31 (682,001)

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Maxmin optimization, population games, collective decision, Nash equilibrium, Pareto map

15.

Comparative Risk Aversion vs. Threshold Choice in the Omega Ratio

Number of pages: 25 Posted: 06 Jan 2023
Anne Balter, Ki Wai Chau and Nikolaus Schweizer
Tilburg University, University of Groningen - Faculty of Economics and Business and Tilburg School of Economics and Management
Downloads 21 (767,153)

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Omega Ratio, Risk Preferences, Decision Criteria

16.

Dynamic Stability in Population Games derived from Social Decision Problems

Number of pages: 25 Posted: 15 Nov 2022
Anne Balter, Johannes M. Schumacher and Nikolaus Schweizer
Tilburg University, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg School of Economics and Management
Downloads 20 (775,533)

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Maxmin optimization, population games, collective decision, Nash equilibrium, local stability

17.

A Primal–Dual Algorithm for BSDEs

Mathematical Finance, Vol. 27, Issue 3, pp. 866-901, 2017
Number of pages: 36 Posted: 15 Jun 2017
Christian Bender, Nikolaus Schweizer and Jia Zhuo
Saarland University, Tilburg School of Economics and Management and University of Southern California
Downloads 3 (932,672)

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BSDE, numerical approximation, Monte Carlo, option pricing

18.

Faster Comparison of Stopping Times by Nested Conditional Monte Carlo

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 24 Posted: 14 Jun 2016
Fabian Dickmann and Nikolaus Schweizer
University of Duisburg-Essen and Tilburg School of Economics and Management
Downloads 0 (972,179)
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Abstract:

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American options, branching, multilevel Monte Carlo, nested simulation, splitting, variance reduction