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Free University of Bozen-Bolzano

Toggle the language menu. Current language: English (United States)

Tenured full professors | Accept incomparableness and enjoy it.

Andreas Heinrich Hamel

Andreas.Hamel@unibz.it

+39 0474 013651

BK A1.10
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

M-1 Mathematics for Economists A

30101A · SECS-S/06 · Tourism, Sport & Event Management (L-18) · EN

M-2 Mathematics for Economists B

30101B · SECS-S/06 · Tourism, Sport & Event Management (L-18) · EN

Preparatory course in Mathematics - Mathematics for Economists

30152 · SECS-S/06 · Tourism, Sport & Event Management (L-18) · 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 Conference "Set Optimization for Applications" at Friedrich Schiller University Jena, Germany, Feb. 11-15, 2019.

Info & Registration: http://sofa2019.uni-jena.de

Publications

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, Q.Q. Wang, A set optimisation approach to utility maximisation under transaction costs, Decisions in Economics and Finance 40(1-2), 257-275, 2017
C. Ararat, A.H. Hamel, B. Rudloff, Set-valued shortfall and divergence risk measures, Intern. J. Theoretical and Applied Finance 20(5), 48pp., 2017
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, B. Rudloff, M. Yankova, Set-valued average value at risk and its computation, Math. Financial Economics 7(2), 229-246, 2013
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, F. Heyde, Duality for set-valued measures of risk, SIAM J Financial Math. 1(1), 66-95, 2010
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, 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, 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, Phelps’ lemma, Danes’ drop theorem and Ekeland’s principle in locally convex spaces, Proc. Amer. Math. Soc. 131, 3025–3038, 2003
A.H. Hamel, An epsilon-Lagrange multiplier rule for a mathematical programming problem on a Banach space, Optimization 49, 137-149, 2001
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