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Free University of Bozen-Bolzano

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Tenured full professors | Mathematics

Andreas Heinrich Hamel

Andreas.Hamel@unibz.it

+39 0474 013651

BK A1.11
Faculty of Economics and Management
Universitätsplatz 1 - Piazzetta dell'Università, 1
39031
Bruneck-Brunico
Links

Curriculum Vitae

Reserve Collection

Short bio

Taught math and math related courses at University Halle-Wittenberg (Germany), IMPA, Rio de Janeiro (Brazil), Princeton University and Yeshiva University New York (USA).

Co-developed new area “Set Optimization” with surprising applications in mathematical finance, economics, statistics, game theory and multi-criteria decision making; invented set optimization approach to risk measures for multivariate positions.

Courses

Introduction to Analysis and Optimization Techniques

76436 · MAT/05 · L-31 Informatics and Management · EN

M-1 Mathematics for Economists TSE

30162A · SECS-S/06 · L-18 Tourism, Sport & Event Management · EN

M-2 Mathematics for Economists TSE

30162B · SECS-S/06 · L-18 Tourism, Sport & Event Management · EN

Mathematics for Economists 1

27356A · SECS-S/06 · L-18 Economics and Management · EN

Main Research Areas


Convex and variational analysis; optimization theory, in particular problems with a set-valued objective; mathematical finance, in particular market models with transaction costs; mathematical economics, in particular incomplete preferences and game theory; multivariate statistics, in particular quantiles. 

Info

Upcoming Workshop "Set Optimization and Statistics" at Free University of Bozen-Bolzano, Italy, Nov. 21-22, 2019.
 

Publications

Q.H. Ansari, A.H. Hamel, P.K. Sharma, Ekeland’s variational principle with weighted set order relations, Math. Methods. Oper. Res., online first, 2019
A.H. Hamel, F. Heyde, A. Löhne, C. Tammer, K. Winkler, Closing the duality gap in linear vector optimization, J. Convex Anal. 11(1), 163-178, 2004
A.H. Hamel, C. Tammer, Minimal elements for product orders, Optimization 57(2), 263-275, 2008
A.H. Hamel, A. Loehne, Minimal element theorems and Ekeland's principle with set relations, J. Nonlin. Convex Anal. 7(1), 19-37, 2006
A.H. Hamel, A. Loehne, Equivalents to Ekeland's variational principle in uniform spaces, Norlin. Anal. 62(5), 913-924, 2005
A.H. Hamel, F. Heyde, Duality for set-valued measures of risk, SIAM J Financial Math. 1(1), 66-95, 2010
A.H. Hamel, C. Schrage, Notes on extended real- and set-valued functions, J. Convex Analysis, 19(2), 355-384, 2012
A.H. Hamel, F. Heyde, B. Rudloff, Set-valued risk measures for conical market models, Math. Financial Economics 5(1), 1-28, 2011
A.H. Hamel, A Fenchel-Rockafellar duality theorem for set-valued optimization, Optimization 60(8-9), 1023-1043, 2011
A.H. Hamel, A duality theory for set-valued functions I: Fenchel conjugation theory, Set-Valued Variational Analysis 17(2), 153-182, 2009
A.H. Hamel, B. Rudloff, M. Yankova, Set-valued average value at risk and its computation, Math. Financial Economics 7(2), 229-246, 2013
S. Drapeau, A.H. Hamel, M. Kupper, Complete duality theory for quasi convex and convex set-valued functions, Set-Valued and Variational Analysis 24(2), 253-275, 2016
G. Crespi, A.H. Hamel, C. Schrage, A Minty Variational Principle for Set-Valued Optimization, J. Math. Anal. Appl. 423(1), 770-796, 2015
A.H. Hamel, C. Schrage, Directional Derivatives, Subdifferentials and Optimality Conditions for Set-Valued Convex Functions, Pacific J. Optimization 10(4), 667-689, 2014
A.H. Hamel, A. Loehne, Lagrange duality in set optimization, J. Optim. Theory Appl. 161(2), 368-397, 2014
A.H. Hamel, A. Loehne, B. Rudloff, Benson type algorithms for linear vector optimization and applications, J. Global Optimization 59(4), 811-836, 2014
A.H. Hamel, Q.Q. Wang, A set optimisation approach to utility maximisation under transaction costs, Decisions in Economics and Finance 40(1-2), 257-275, 2017
A.H. Hamel, D. Kostner, Cone distribution functions and quantiles for multivariate random variables, J. Multivariate Analysis 167, 97-113, 2018
A.H. Hamel, A. Loehne, A set optimization approach to zero-sum matrix games with multi-dimensional payoffs, Math. Methods Oper. Res., online first, 2018
A.H. Hamel, An epsilon-Lagrange multiplier rule for a mathematical programming problem on a Banach space, Optimization 49, 137-149, 2001
C. Ararat, A.H. Hamel, B. Rudloff, Set-valued shortfall and divergence risk measures, Intern. J. Theoretical and Applied Finance 20(5), 48pp., 2017
A.H. Hamel, Phelps’ lemma, Danes’ drop theorem and Ekeland’s principle in locally convex spaces, Proc. Amer. Math. Soc. 131, 3025–3038, 2003