Georg Ch. Pflug

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A Review on Ambiguity in Stochastic Portfolio Optimization

Georg Ch. Pflug, Mathias Pohl, G. Pflug, 2018 .

Version-Independence and Nested Distributions in Multistage Stochastic Optimization

Georg Ch. Pflug, 2009, SIAM J. Optim..

Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches

Georg Ch. Pflug, Raimund M. Kovacevic, G. Pflug, 2014, Eur. J. Oper. Res..

Sampling derivatives of probabilities

Georg Ch. Pflug, 2005, Computing.

Simulation and sensitivity estimation

Georg Ch. Pflug, 1996 .

Inventory processes: Quasi regenerative property and sensitivity estimation

Georg Ch. Pflug, R. Rubinstein, 2002 .

Stochastische Modelle in der Informatik

Georg Ch. Pflug, 1986 .

The Value of Perfect Information as a Risk Measure

Georg Ch. Pflug, 2004 .

Modeling Macro Scale Disaster Risk: The CATSIM Model

Stefan Hochrainer-Stigler, Georg Ch. Pflug, Reinhard Mechler, 2013 .

Measuring and Managing Risk

Georg Ch. Pflug, Raimund M. Kovacevic, Alois Pichler, 2015 .

05031 Summary-- Algorithms for Optimization with Incomplete Information

Rolf H. Möhring, Susanne Albers, Georg Ch. Pflug, 2005, Algorithms for Optimization with Incomplete Information.

Parallelization of Pricing Path-Dependent Financial Instruments on Bounded Trinomial Lattices

Ronald Hochreiter, Georg Ch. Pflug, Hannes Schabauer, 2008, ICCS.

Systemic risk and copula models

Georg Ch. Pflug, Alois Pichler, G. Pflug, 2018, Central Eur. J. Oper. Res..

Solving ALM Problems via Sequential Stochastic Programming

Gautam Mitra, Georg Ch. Pflug, Michael A. H. Dempster, 2008 .

Optimal stochastic single-machine-tardiness scheduling by stochastic branch-and-bound

Georg Ch. Pflug, Walter J. Gutjahr, A. Hellmayr, 1999, Eur. J. Oper. Res..

On-Line Optimization of Simulated Markovian Processes

Georg Ch. Pflug, 1990, Math. Oper. Res..

Constant Rebalanced Portfolios and Side-Information

Gautam Mitra, Georg Ch. Pflug, Michael A. H. Dempster, 2008 .

Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals

Georg Ch. Pflug, Alois Pichler, G. Pflug, 2016, Math. Oper. Res..

Optimal pension fund management under multi-period risk minimization

Georg Ch. Pflug, Sona Kilianová, 2009, Ann. Oper. Res..

Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Georg Ch. Pflug, John W. Polak, Sebastian Maier, 2020, Eur. J. Oper. Res..

Copula Approaches for Risk Assessment and Management

Stefan Hochrainer-Stigler, Georg Ch. Pflug, 2015 .

The AURORA Financial Management System: Model and Parallel Implementation Design

Georg Ch. Pflug, Engelbert J. Dockner, Hans Moritsch, 2000, Ann. Oper. Res..

Incorporating statistical model error into the calculation of acceptability prices of contingent claims

Georg Ch. Pflug, Alois Pichler, Martin Glanzer, 2017, Mathematical Programming.

On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse

Georg Ch. Pflug, Rüdiger Schultz, Andrzej Ruszczynski, 1998, Math. Methods Oper. Res..

Using a distributed active tree in Java for the parallel and distributed implementation of a nested optimization algorithm

Georg Ch. Pflug, Hans Moritsch, 2003, 2003 International Conference on Parallel Processing Workshops, 2003. Proceedings..

Approximations and Bounds

Georg Ch. Pflug, Alois Pichler, G. Pflug, 2014 .

The Nested Distance

Georg Ch. Pflug, Alois Pichler, G. Pflug, 2014 .

Behavioral pricing of energy swing options by stochastic bilevel optimization

Georg Ch. Pflug, Peter Gross, 2016 .

Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices

Georg Ch. Pflug, Dmitri V. Boreiko, Yuri M. Kaniovski, 2015, OR.

Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design

Georg Ch. Pflug, Heinz Weisshaupt, G. Pflug, 2005, SIAM J. Optim..

Simulated Annealing for noisy cost functions

Georg Ch. Pflug, Walter J. Gutjahr, G. Pflug, 1996, J. Glob. Optim..

05031 Abstracts Collection - Algorithms for Optimization with Incomplete Information

Rolf H. Möhring, Susanne Albers, Georg Ch. Pflug, 2005, Algorithms for Optimization with Incomplete Information.

Multiscale stochastic optimization: modeling aspects and scenario generation

Georg Ch. Pflug, Martin Glanzer, G. Pflug, 2019, Comput. Optim. Appl..

Birge and Qi Method for Three-Stage Stochastic Programs Using IPM

Georg Ch. Pflug, Ladislav Halada, G. Pflug, 2002, International Conference on Computational Science.

On distributionally robust multiperiod stochastic optimization

Georg Ch. Pflug, Bita Analui, G. Pflug, 2014, Comput. Manag. Sci..

Bounds and Approximations for Multistage Stochastic Programs

Georg Ch. Pflug, Francesca Maggioni, G. Pflug, 2016, SIAM J. Optim..

Risk and Utility Functionals

Georg Ch. Pflug, Alois Pichler, G. Pflug, 2014 .

Linear probing with a nonuniform address distribution

Georg Ch. Pflug, Hans W. Kessler, G. Pflug, 1987, JACM.

Dynamic generation of scenario trees

Georg Ch. Pflug, Alois Pichler, G. Pflug, 2015, Comput. Optim. Appl..

Operations Research Proceedings 2015, Selected Papers of the International Conference of the German, Austrian and Swiss Operations Research Societies (GOR, ÖGOR, SVOR/ASRO), University of Vienna, Austria, September 1-4, 2015

Georg Ch. Pflug, Gernot Tragler, Ivana Ljubić, 2017, OR.

Discrete Stochastic Optimization

Georg Ch. Pflug, 2009, Encyclopedia of Optimization.

Asymptotic distribution of law-invariant risk functionals

Georg Ch. Pflug, Nancy Wozabal, 2010, Finance Stochastics.

Reply to 'Statistics of flood risk'

Stefan Hochrainer-Stigler, Georg Ch. Pflug, Jeroen C. J. H. Aerts, 2014 .

Measuring Risk for Income Streams

Georg Ch. Pflug, Andrzej Ruszczynski, G. Pflug, 2005, Comput. Optim. Appl..

A Distance For Multistage Stochastic Optimization Models

Georg Ch. Pflug, Alois Pichler, G. Pflug, 2012, SIAM J. Optim..

Gradient estimation for discrete-event systems by measure-valued differentiation

Georg Ch. Pflug, Bernd Heidergott, Felisa J. Vázquez-Abad, 2010, TOMC.

Asymptotic Stochastic Programs

Georg Ch. Pflug, G. Pflug, 1995, Math. Oper. Res..

New Algorithms And Fast Implementations To Approximate Stochastic Processes.

Georg Ch. Pflug, Alois Pichler, Kipngeno Benard Kirui, 2020, 2012.01185.

A Note on the Recursive and Parallel Structure of the Birge and Qi Factorization for Tree Structured Linear Programs

Georg Ch. Pflug, Ladislav Halada, 2003, Comput. Optim. Appl..

Optimizing simulated systems

Georg Ch. Pflug, 1984, SIML.

Stochastische Modelle in der Informatik - mit einem Anhang über Simulation

Georg Ch. Pflug, 1986, Leitfäden und Monographien der Informatik.

Preface

Georg Ch. Pflug, 2012, Comput. Manag. Sci..

Subdifferential representations of risk measures

Georg Ch. Pflug, 2006, Math. Program..

The distortion principle for insurance pricing: properties, identification and robustness

Georg Ch. Pflug, Debora Daniela Escobar, 2020, Ann. Oper. Res..

Stochastic vs deterministic programming in water management: the value of flexibility

Georg Ch. Pflug, Yousaf Shad Muhammad, 2014, Ann. Oper. Res..

Selected parallel optimization methods for financial management under uncertainty

Georg Ch. Pflug, Artur Swietanowski, G. Pflug, 2000, Parallel Comput..

The asymptotic distribution of leaf heights in binary trees

Georg Ch. Pflug, Walter J. Gutjahr, G. Pflug, 1992, Graphs Comb..

Memory Conflicts in MIMD-Computers - A Performance Analysis

Georg Ch. Pflug, 1986, CONPAR.

An algorithm for calculating steady state probabilities of $M|E_r|c|K$ queueing systems pdf

Ronald Hochreiter, Georg Ch. Pflug, Stefan Hochrainer, 2014, ArXiv.

The entity - connection approach to modelling and simulation

Georg Ch. Pflug, Michael Prohaska, 1990, Simul..

Dynamic Memory Allocation - A Markovian Analysis

Georg Ch. Pflug, 1984, Comput. J..

Derivatives of Markov Processes and Their Simulation

Georg Ch. Pflug, 2009, Encyclopedia of Optimization.

Computeranimation für diskrete Ereignissimulation

Georg Ch. Pflug, Michael Prohaska, 1988, Austrographics.

Correction to: Distributionally robust optimization with multiple time scales: valuation of a thermal power plant

Georg Ch. Pflug, Wim van Ackooij, Martin Glanzer, 2020, Comput. Manag. Sci..

From Data to Models

Georg Ch. Pflug, Alois Pichler, G. Pflug, 2014 .

New Directions in Stochastic Optimisation

Jesús A. De Loera, Georg Ch. Pflug, Darinka Dentcheva, 2019, Oberwolfach Reports.

A branch and bound method for stochastic global optimization

Georg Ch. Pflug, Andrzej Ruszczynski, Vladimir I. Norkin, 1998, Math. Program..

A risk measure for income processes

Georg Ch. Pflug, Andrzej Ruszczyński, 2004 .

Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs

Georg Ch. Pflug, Francesca Maggioni, G. Pflug, 2019, SIAM J. Optim..

Stochastic programs and statistical data

Georg Ch. Pflug, G. Pflug, 1999, Ann. Oper. Res..

Mathematical statistics and applications

Georg Ch. Pflug, Wilfried Grossmann, Wolfgang Wertz, 1985 .

On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions

Georg Ch. Pflug, Rüdiger Schultz, Andrzej Ruszczynski, 1996, Math. Oper. Res..

Time-inconsistent multistage stochastic programs: Martingale bounds

Georg Ch. Pflug, Alois Pichler, 2016, Eur. J. Oper. Res..

Coping with Uncertainty. Modeling and Policy Issues

Marek Makowski, Georg Ch. Pflug, Kurt Marti, 2006 .

Simulation and optimization : proceedings of the International Workshop on Computationally Intensive Methods in Simulation and Optimization, held at the International Institute for Applied Systmes Analysis (IIASA), Laxenburg, Austria, August 23-25, 1990

Ulrich Dieter, Georg Ch. Pflug, 1992 .

Ein SIMULA-Modell zur Ereignissimulation von Stadtstraßennetzen

Georg Ch. Pflug, Wilfried Grossmann, 1979, Z. Oper. Research.

Scenario tree generation for multiperiod financial optimization by optimal discretization

Georg Ch. Pflug, G. Pflug, 2001, Math. Program..

Dynamic asset allocation under uncertainty for pension fund management

Georg Ch. Pflug, A. Swietanowski, 1999 .

Emerging and innovative OR applications: a special issue in honor of Walter J. Gutjahr

Georg Ch. Pflug, Richard F. Hartl, Karl F. Doerner, 2018, Central Eur. J. Oper. Res..

Confidence sets for discrete stochastic optimization

Georg Ch. Pflug, A. Futschik, 1995, Ann. Oper. Res..

Derivatives of Probability Measures

Georg Ch. Pflug, 2001, Encyclopedia of Optimization.

ScenTrees.jl: A Julia Package for Generating Scenario Trees and Scenario Lattices for Multistage Stochastic Programming

Georg Ch. Pflug, Alois Pichler, Kipngeno Benard Kirui, 2020, J. Open Source Softw..

Random planar shapes and their statistical recognition

Georg Ch. Pflug, 2005, Annals of Mathematics and Artificial Intelligence.

Optimal scenario tree generation for multiperiod financial planning

Georg Ch. Pflug, 2001 .

Electricity swing options: Behavioral models and pricing

Georg Ch. Pflug, Nikola Broussev, 2009, Eur. J. Oper. Res..

Optimizing simulated Markov processes

Georg Ch. Pflug, 1986 .

Financial scenario generation for stochastic multi-stage decision processes as facility location problems

Ronald Hochreiter, Georg Ch. Pflug, G. Pflug, 2007, Ann. Oper. Res..

Distributionally robust optimization with multiple time scales: valuation of a thermal power plant

Georg Ch. Pflug, Wim van Ackooij, Martin Glanzer, 2019, Computational Management Science.

Applied mathematical programming and modelling 2008

Ronald Hochreiter, Georg Ch. Pflug, 2012, Ann. Oper. Res..

Gradient estimates for the performance of markov chains and discrete event processes

Georg Ch. Pflug, 1992, Ann. Oper. Res..

The limiting common distribution of two leaf heights in a random brinary tree

Georg Ch. Pflug, Walter J. Gutjahr, 1992, RAIRO Theor. Informatics Appl..

Algorithms for Optimization with Incomplete Information, 16.-21. January 2005

Rolf H. Möhring, Susanne Albers, Georg Ch. Pflug, 2005, Algorithms for Optimization with Incomplete Information.

Introduction to the special issue on computational optimization under uncertainty

Ronald Hochreiter, Georg Ch. Pflug, 2009, Comput. Manag. Sci..

Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence

Georg Ch. Pflug, Dmitri V. Boreiko, Yuri M. Kaniovski, 2016, Central Eur. J. Oper. Res..

From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties

Georg Ch. Pflug, Alois Pichler, G. Pflug, 2016, SIAM J. Optim..

Tree Approximations of Dynamic Stochastic Programs

Georg Ch. Pflug, Radoslava Mirkov, 2007, SIAM J. Optim..

Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets

Ronald Hochreiter, Georg Ch. Pflug, David Wozabal, 2005, System Modelling and Optimization.

Discrete Optimization Approximating k-cuts using network strength as a Lagrangean relaxation

Ulrich Dieter, Georg Ch. Pflug, R. Ravi, 2000 .

Non-standard limit theorems for urn models and stochastic approximation procedures

Georg Ch. Pflug, Y. M. Kaniovski, 1995 .

A value-of-information approach to measuring risk in multi-period economic activity

Georg Ch. Pflug, G. Pflug, 2006 .

FINDING OPTIMAL PORTFOLIOS WITH CONSTRAINTS ON VALUE AT RISK

Georg Ch. Pflug, Alexei A. Gaivoronski, G. Pflug, 2000 .

Measuring Systemic Risk: Structural Approaches

Georg Ch. Pflug, Raimund M. Kovacevic, 2015 .

Asymptotic Dominance and Confidence for Solutions of Stochastic Programs

Georg Ch. Pflug, 1991 .

Assessing the Financial Vulnerability to Climate-Related Natural Hazards

Georg Ch. Pflug, Reinhard Mechler, Alexander Lotsch, 2010 .

Financial Natural Disaster Risk Management for Developing Countries

Stefan Hochrainer-Stigler, Georg Ch. Pflug, Reinhard Mechler, 2004 .

A note on the comparison of stationary laws of Markov processes

Georg Ch. Pflug, 1991 .

Dynamic Stochastic Optimization

Georg Ch. Pflug, Yuri Ermoliev, Kurt Marti, 2004 .

On the Convergence of a Penalty-Type Stochastic Optimization Procedure

Georg Ch. Pflug, 1981 .

Incorporating model uncertainty into optimal insurance contract design

Stefan Hochrainer-Stigler, Anna Timonina-Farkas, Georg Ch. Pflug, 2017 .

Risk-Reshaping Contracts and Stochastic Optimization

Georg Ch. Pflug, G. Pflug, 1996 .

Increasing stress on disaster-risk finance due to large floods

Stefan Hochrainer-Stigler, Georg Ch. Pflug, Jeroen C. J. H. Aerts, 2014 .

Public sector financial vulnerability to disasters: The IIASA CATSIM model

Stefan Hochrainer-Stigler, Georg Ch. Pflug, Reinhard Mechler, 2012 .

Risk measures for income streams

Georg Ch. Pflug, Andrzej Ruszczyński, 2001 .

Pricing of Energy Contracts: From Replication Pricing to Swing Options

Georg Ch. Pflug, Raimund M. Kovacevic, 2013 .

On the Determination of the Step Size in Stochastic Quasigradient Methods

Georg Ch. Pflug, 1983 .

How to Measure Risk

Georg Ch. Pflug, G. Pflug, 1999 .

The Limiting Log-Likelihood Process for Discontinuous Multiparameter Density Families

Georg Ch. Pflug, G. Pflug, 1982 .

Impacts of Global and Climate Change Uncertainties for Disaster Risk Projections: A Case Study on Rainfall-Induced Flood Risk in Bangladesh

Stefan Hochrainer-Stigler, Georg Ch. Pflug, Junko Mochizuki, 2016 .

A characterization of translation-invariant experiments admitting adaptive estimates

Georg Ch. Pflug, Wilfried Grossmann, 1988 .

A difference of convex formulation of value-at-risk constrained optimization

Ronald Hochreiter, Georg Ch. Pflug, David Wozabal, 2010 .

A statistically important Gaussian Process

Georg Ch. Pflug, 1982 .

Introduction to the special issue on financial planning in a dynamical setting

Gautam Mitra, Georg Ch. Pflug, Michael A. H. Dempster, 2007 .

Asymptotically Optimal Allocation of Simulation Experiments in Discrete Stochastic Optimization

Georg Ch. Pflug, Andreas Futschik, G. Pflug, 1996 .

Funding public adaptation to climate-related disasters. Estimates for a global fund

Stefan Hochrainer-Stigler, Georg Ch. Pflug, Reinhard Mechler, 2014 .

Climate change and financial adaptation in Africa. Investigating the impact of climate change on the robustness of index-based microinsurance in Malawi

Georg Ch. Pflug, Reinhard Mechler, Stefan Hochrainer, 2009 .

A Risk Measure For Income Streams

Georg Ch. Pflug, Andrzej Ruszczyński, 2002 .

Annals of Operations Research. Special Issue on Stocastic Dynamic Modeling of Investments and Risks in Financial Markets

Georg Ch. Pflug, Hercules Vladimirou, Maria Bertocchi, 2009 .

Modelling the economic and fiscal risks from natural disasters: Insights based on the CatSim model

Stefan Hochrainer-Stigler, Georg Ch. Pflug, Reinhard Mechler, 2013 .

Early warning and drought risk assessment for the Bolivian Altiplano agriculture using high resolution satellite imagery data

Stefan Hochrainer-Stigler, Georg Ch. Pflug, Bruno Condori, 2018 .

Disaster Risk Management: National Systems for the Comprehensive Management of Disaster Risk and Financial Strategies for Natural Disaster Reconstruction

Georg Ch. Pflug, Reinhard Mechler, Joanne Linnerooth-Bayer, 2003 .