Office hours: by appointment
Assistant: Katrin Artner
 

Deputy Head of Institute for Statistics and Mathematics

 Research Interests

• Multivariate risks, (dynamic) set-valued risk measures

• Markets with transaction costs

• Systemic risk measures

• Incomplete preference relations

• Algorithms to solve vector optimization problems

• Computation of Nash equilibria

• A set-valued Bellman's principle

• Aumann integrals, stochastic differential inclusions

Short Vita

• Vienna University of Economics and Business (2015 - present)
  Full Professor since January 2017
  Associate Professor (Febr.-Dec. 2016)
  Assistant Professor (July 2015-Jan. 2016)
  Habilitation in Financial Mathematics, January 2016

• Princeton University (2006-2015). Department of  Operations Research and Financial Engineering, Assistant Professor

• Vienna University of Technology, Financial and Actuarial Mathematics, Vienna, Austria (March-Aug. 2006);

• IMPA (Instituto Nacional de Matematica Pura e Aplicada), Rio de Janeiro, Brazil (Feb. 2005-Jan. 2006);

• Martin-Luther-University Halle-Wittenberg, Halle, Germany (1996-2006);
  Ph.D. in Financial Mathematics, July 2006.
  M.S. in Financial Mathematics, March 2002.

Research Group

PostDocs

• Gabriela Kováčová (2022-2023)

• Tobias Fissler (2019-2023)

• Andrea Wagner (2016-2019), now Senior Lecturer at our institute

PhD students

• Nurtai Meimanjanov (since 2022)

• Niklas Hey (since 2020)

• Gabriela Kováčová (2016-2022), now PostDoc at UCLA

• Jana Hlavinová (2016-2022), now Senior Lecturer at our institute

• Firdevs Ulus (2011-2015), now Associate Professor at Bilkent University

• Çağın Ararat (2011-2015), now Associate Professor at Bilkent University

• Zach Feinstein (2010-2014), now Associate Professor at Stevens Institute of Technology

Publications

Published Books

Editorial Work

Submitted papers and preprints

Peer-reviewed publication

2025

• G. Kováčová, B. Rudloff (2025): Approximations of unbounded convex projections and unbounded convex sets. [pdf] at arXiv.
  Journal of Global Optimization 91, 787-805

2024

• Z. Feinstein, B. Rudloff (2024): Characterizing and Computing the Set of Nash Equilibria via Vector Optimization. [pdf] at arXiv.
  Operations Research 72 (5), 2082-2096
  → research is featured in this video as part of WU's Researcher of the Month award of March 2022.
  → research was featured in the newspaper supplement (WU Magazin, p.20) of 'Die Presse' on March 19, 2022.
  → research was featured in the magazine 'Falter' on May 18, 2022.

• Z. Feinstein, N. Hey, B. Rudloff (2024): Approximating the set of Nash equilibria for convex games. [pdf] at arXiv.
  Operations Research. Articles in Advance p.1-15.

• Z. Feinstein, B. Rudloff (2024): Deep Learning the Efficient Frontier of Convex Vector Optimization Problems. [pdf] at arXiv.
  Journal of Global Optimization 90, 429-458

• J. Hlavinová, B. Rudloff, A. Smirnow (2024): Set-valued intrinsic measures of systemic risk. [pdf] at arXiv.
  International Journal of Theoretical and Applied Finance 27(7-8), 2450025 (34 pages)

2023

• A. Wagner, F. Ulus, B. Rudloff, G. Kováčová, N. Hey (2023): Algorithms to solve unbounded convex vector optimization problems. [pdf] at arXiv.
  SIAM Journal on Optimization 33(4), 2598-2624.

2022

• Z. Feinstein, B. Rudloff, J. Zhang (2022): Dynamic Set Values for Nonzero Sum Games with Multiple Equilibriums. [pdf] at arXiv.
  Mathematics of Operations Research 47(1), 616-642.

• G. Kováčová, B. Rudloff, I. Cialenco (2022): Acceptability maximization. [pdf] at arXiv.
  Frontiers of Mathematical Finance 1(2), 219-248.
  → Gabriela Kováčová won with this paper the 2021 SIAM-FME Conference Paper Prize, see also here.

• G. Kováčová, B. Rudloff (2022): Convex Projection and Convex Multi-Objective Optimization. [pdf] at arXiv.
  Journal of Global Optimization 83, 301-327.

• Z. Feinstein, B. Rudloff (2022): Scalar multivariate risk measures with a single eligible asset. [pdf] at arXiv.
  Mathematics of Operations Research. 47(2), 899-922.

2021

• G. Kováčová, B. Rudloff (2021): Time consistency of the mean-risk problem. [pdf] at arXiv.
  Operations Research 69(4), 1100-1117.
  → won the 2021 WU Star Journal Award for excellent research, also featured in this video

• T. Fissler, J. Hlavinová, B. Rudloff (2021): Elicitability and Identifiability of Systemic Risk Measures. [pdf] at arXiv.
  Finance and Stochastics 25(1), 133–165.

• T. Fissler, R. Frongillo, J. Hlavinová, B. Rudloff (2021): Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals.
  Electronic Journal of Statistics 15(1), 1034-1084.
  → Jana Hlavinová won with this paper the 2021 SIAM-FME Conference Paper Prize, see also here.

• Z. Feinstein, B. Rudloff (2021): Time consistency for scalar multivariate risk measures [pdf] at arXiv.
  Statistics & Risk Modeling 38(3-4), 71-90.

• B. Rudloff, F. Ulus (2021): Certainty Equivalent and Utility Indifference Pricing for Incomplete Preferences via Convex Vector Optimization. [pdf] at arXiv.
  Mathematics and Financial Economics 15(2), 397-430.

2020

• Ç. Ararat, B. Rudloff (2020): Dual representations for systemic risk measures. [pdf] at arXiv.
  Mathematics and Financial Economics 14(1), 139-174.

2018

• Z. Feinstein, W. Pang, B. Rudloff, E. Schaanning, S. Sturm, M. Wildman (2018): Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. [pdf] at arXiv.
  SIAM Journal on Financial Mathematics 9 (4), 1137-1325.

• Z. Feinstein, B. Rudloff (2018): A Supermartingale Relation for Multivariate Risk Measures. [pdf] at arXiv.
  Quantitative Finance 18 (12), 1971-1990.

2017

• Z. Feinstein, B. Rudloff, S. Weber (2017): Measures of systemic risk. [pdf] at arXiv.
  SIAM Journal on Financial Mathematics 8 (1), 672-708.

• Ç. Ararat, A. Hamel, B. Rudloff (2017): Set-valued shortfall and divergence risk measures. [pdf] at arXiv.
  International Journal of Theoretical and Applied Finance 20 (5) 1750026

• B. Rudloff, F. Ulus, R. Vanderbei (2017): A parametric simplex algorithm for linear vector optimization problems. [pdf] at arXiv.
  Mathematical Programming SERIES A 163 (1), 213-242.

• Z. Feinstein, B. Rudloff (2017): A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle. [pdf] at arXiv.
  Journal of Global Optimization 68 (1), 47–69.

2015

• Z. Feinstein, B. Rudloff (2015): Multi-portfolio time consistency for set-valued convex and coherent risk measures. [pdf] at arXiv.
  Finance and Stochastics 19 (1), 67-107.

• A. Löhne, B. Rudloff (2015): On the dual of the solvency cone. [pdf] at arXiv.
  Discrete Applied Mathematics 186, 176-185.

• Ç. Ararat, B. Rudloff (2015): A characterization theorem for Aumann integrals. [pdf] at arXiv.
  Set-Valued and Variational Analysis 23 (2), 305-318.

• A. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage (2015): Set optimization - a rather short introduction. (76 pages) [pdf] at arXiv.
  In: A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage (eds.): Set Optimization and Applications in Finance - The State of the Art, Springer PROMS series, Vol. 151, 65-141. ISBN: 978-3-662-48668-9

• Z. Feinstein, B. Rudloff (2015): A comparison of techniques for dynamic multivariate risk measures. [pdf] at arXiv.
  In: A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage (eds.): Set Optimization and Applications in Finance - The State of the Art, Springer PROMS series, Vol. 151, 3-41. ISBN: 978-3-662-48668-9

2014

• A. Löhne, B. Rudloff (2014): An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. [pdf] at arXiv.
  International Journal of Theoretical and Applied Finance 17 (2) 1450012 (33 pages).
  An implementation of Benson's algorithm (by A. Löhne) used to solve the linear vector optimization problems arising in the above paper can be downloaded here [Bensolve]

• A. Löhne, B. Rudloff, F. Ulus (2014): Primal and dual approximation algorithms for convex vector optimization problems. [pdf] at arXiv.
  Journal of Global Optimization 60 (4) 713-736.

• B. Rudloff, A. Street, D. Valladao (2014): Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences. [pdf] at optimization online.
  European Journal of Operational Research 234 (3), 743-750.

• A. Hamel, A. Löhne, B. Rudloff (2014): Benson type algorithms for linear vector optimization and applications. [pdf] at arXiv
  Journal of Global Optimization 59 (4), 811-836.
  A MatLab as well as a C implementation (by A. Löhne) can be downloaded here [Bensolve]

2013

• A. Hamel, B. Rudloff, M. Yankova (2013): Set-valued average value at risk and its computation. [pdf] at arXiv.
  Mathematics and Financial Economics 7 (2), 229-246.

• Z. Feinstein, B. Rudloff (2013): Time consistency of dynamic risk measures in markets with transaction costs. [pdf] at arXiv.
  Quantitative Finance 13 (9), 1473-1489.

2011

• A. Hamel, F. Heyde, B. Rudloff (2011): Set-valued risk measures for conical market models. [pdf] at arXiv.
  Mathematics and Financial Economics 5 (1), 1 - 28.

2010

• B. Rudloff, I. Karatzas (2010): Testing Composite Hypotheses via Convex Duality. [pdf] at arXiv.
  Bernoulli 16 (4), 1224 - 1239.

2009

• B. Rudloff (2009): Coherent Hedging in Incomplete Markets.
  Quantitative Finance 9 (2), 197 - 206.

2008

• B. Rudloff, J. Sass, R. Wunderlich (2008): Entropic Risk Constraints for Utility Maximization.
  In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 149 - 180. ISBN 978-3-8322-7500-6.

• A. Hamel, B. Rudloff (2008): Continuity and Finite-Valuedness of Set-Valued Risk Measures.
  In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 49 - 64. ISBN 978-3-8322-7500-6.

2007

• B. Rudloff (2007): Convex Hedging in Incomplete Markets. [pdf] at arXiv.
  Applied Mathematical Finance 14 (5), 437 - 452.

2005

• B. Rudloff (2005): A Generalized Neyman-Pearson Lemma for Hedge Problems in Incomplete Markets.
  Proceedings of the Workshop Stochastische Analysis, 241 - 250. ISSN 1612-5665.

• B. Rudloff (2005): Hedging with Convex Risk Measures.
  In: N. Kolev, P. Morettin (eds.): Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and Finance, ISBN 85-88697-07-6.

Theses

• Hedging in Incomplete Markets and Testing Compound Hypotheses via Convex Duality.
  PhD Thesis, Martin-Luther-University Halle-Wittenberg, 2006.
  Advisor: Prof. W. Grecksch.

• Valuation of Default Correlations and Application to Pricing synthetic CDO's.
  Master Thesis (Diplomarbeit), Martin-Luther-University Halle-Wittenberg, 2002.
  [in german: Ein Modell zur Berechnung von Ausfallkorrelationen und dessen Anwendung auf die Bewertung synthetischer CDOs]
  Advisor: Prof. W. Grecksch.