Birgit Rudloff

发表

Time consistency of dynamic risk measures in markets with transaction costs

Zachary Feinstein, Birgit Rudloff, 2012 .

Robust No Arbitrage and the Solvability of Vector-Valued Utility Maximization Problems

Zhou Zhou, Birgit Rudloff, Andreas H Hamel, 2019 .

A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle

Zachary Feinstein, Birgit Rudloff, Zachary Feinstein, 2015, J. Glob. Optim..

On the dual of the solvency cone

Andreas Löhne, Birgit Rudloff, Birgit Rudloff, 2014, Discret. Appl. Math..

Primal and dual approximation algorithms for convex vector optimization problems

Andreas Löhne, Firdevs Ulus, Birgit Rudloff, 2013, J. Glob. Optim..

A parametric simplex algorithm for linear vector optimization problems

Robert J. Vanderbei, Firdevs Ulus, Birgit Rudloff, 2015, Mathematical Programming.

Multi-portfolio time consistency for set-valued convex and coherent risk measures

Zachary Feinstein, Birgit Rudloff, Zachary Feinstein, 2012, Finance Stochastics.

Time consistency of the mean-risk problem

Birgit Rudloff, Gabriela Kov'avcov'a, 2018 .

Set Optimization and Applications - The State of the Art

Andreas H. Hamel, Andreas Löhne, Carola Schrage, 2015 .

Measures of Systemic Risk

Stefan Weber, Zachary Feinstein, Birgit Rudloff, 2015, SIAM J. Financial Math..

Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities

Weijie Pang, Zachary Feinstein, Stephan Sturm, 2017, SIAM J. Financial Math..

Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences

Alexandre Street, Davi Michel Valladão, Birgit Rudloff, 2014, Eur. J. Oper. Res..

Benson type algorithms for linear vector optimization and applications

Andreas H. Hamel, Andreas Löhne, Birgit Rudloff, 2013, J. Glob. Optim..

An algorithm for calculating the set of superhedging portfolios in markets with transaction costs

Birgit Rudloff, Andreas Lohne, Andreas Lohne, 2011, 1107.5720.

Dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums

Zachary Feinstein, Birgit Rudloff, Jianfeng Zhang, 2021, Mathematics of Operations Research.

Time consistency for scalar multivariate risk measures

Zachary Feinstein, Birgit Rudloff, Zachary Feinstein, 2018, Statistics & Risk Modeling.

Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals

Rafael M. Frongillo, Birgit Rudloff, Rafael Frongillo, 2019, Electronic Journal of Statistics.

Convex Projection and Convex Multi-Objective Optimization

Birgit Rudloff, Gabriela Kov'avcov'a, 2021 .

Scalar Multivariate Risk Measures with a Single Eligible Asset

Zachary Feinstein, Birgit Rudloff, Zachary Feinstein, 2018, Math. Oper. Res..

Characterizing and Computing the Set of Nash Equilibria via Vector Optimization

Zachary Feinstein, Birgit Rudloff, 2021 .

Set-valued risk measures for conical market models

Andreas H. Hamel, Birgit Rudloff, Frank Heyde, 2010, 1011.5986.

A Comparison of Techniques for Dynamic Multivariate Risk Measures

Zachary Feinstein, Birgit Rudloff, Zachary Feinstein, 2013, 1305.2151.

Testing composite hypotheses via convex duality

Ioannis Karatzas, Birgit Rudloff, 2010 .

A generalized Neyman-Pearson lemma for hedge problems in incomplete markets

Birgit Rudloff, 2005 .

Coherent hedging in incomplete markets

Birgit Rudloff, 2009 .

A comparison of techniques for dynamic risk measures with transaction costs

Zachary Feinstein, Birgit Rudloff, 2013 .

Set-valued average value at risk and its computation

Andreas H. Hamel, Birgit Rudloff, Mihaela Yankova, 2012 .

Convex Hedging in Incomplete Markets

Birgit Rudloff, 2007 .

SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES

Andreas H. Hamel, Birgit Rudloff, A. Hamel, 2014, 1405.4905.