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Birgit Rudloff
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Year
Measures of systemic risk
Z Feinstein, B Rudloff, S Weber
SIAM Journal on Financial Mathematics 8 (1), 672-708, 2017
1632017
Set-valued risk measures for conical market models
AH Hamel, F Heyde, B Rudloff
Mathematics and financial economics 5 (1), 1-28, 2011
1292011
Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences
B Rudloff, A Street, DM Valladão
European Journal of Operational Research 234 (3), 743-750, 2014
111*2014
Set optimization-a rather short introduction
AH Hamel, F Heyde, A Löhne, B Rudloff, C Schrage
In: A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage (eds.): Set …, 2015
952015
Benson type algorithms for linear vector optimization and applications
AH Hamel, A Löhne, B Rudloff
Journal of Global Optimization 59 (4), 811-836, 2014
852014
Primal and dual approximation algorithms for convex vector optimization problems
A Löhne, B Rudloff, F Ulus
Journal of Global Optimization 60 (4), 713-736, 2014
742014
Set-valued average value at risk and its computation
AH Hamel, B Rudloff, M Yankova
Mathematics and Financial Economics 7 (2), 229-246, 2013
712013
Convex hedging in incomplete markets
B Rudloff
Applied Mathematical Finance 14 (5), 437-452, 2007
602007
Multiportfolio time consistency for set-valued convex and coherent risk measures
Z Feinstein, B Rudloff
Finance and Stochastics 19 (1), 67-107, 2015
492015
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
A Löhne, B Rudloff
International Journal of Theoretical and Applied Finance 17 (02), 1450012, 2014
45*2014
Time consistency of dynamic risk measures in markets with transaction costs
Z Feinstein, B Rudloff
Quantitative Finance 13 (9), 1473-1489, 2013
422013
Coherent hedging in incomplete markets
B Rudloff
Quantitative Finance 9 (2), 197-206, 2009
402009
Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities
Z Feinstein, W Pang, B Rudloff, E Schaanning, S Sturm, M Wildman
SIAM Journal on Financial Mathematics 9 (4), 1286-1325, 2018
372018
A parametric simplex algorithm for linear vector optimization problems
B Rudloff, F Ulus, R Vanderbei
Mathematical Programming SERIES A 163 (1), 213-242, 2017
342017
Set-valued shortfall and divergence risk measures
Ç Ararat, AH Hamel, B Rudloff
International Journal of Theoretical and Applied Finance 20 (5), 1750026, 2017
322017
Testing composite hypotheses via convex duality
B Rudloff, I Karatzas
Bernoulli, 1224-1239, 2010
312010
A comparison of techniques for dynamic multivariate risk measures
Z Feinstein, B Rudloff
Set Optimization and Applications-The State of the Art: From Set Relations …, 2015
302015
Dual representations for systemic risk measures
Ç Ararat, B Rudloff
Mathematics and Financial Economics 14 (1), 139-174, 2020
292020
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
Z Feinstein, B Rudloff
Journal of Global Optimization 68 (1), 47–69, 2017
282017
Set optimization and applications-the state of the art
AH Hamel, F Heyde, A Löhne, B Rudloff, C Schrage
Springer Proc. Math. Stat 151, 2015
282015
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