Die Erholunsgzone vor dem D4 Gebäude über dem Brunnen.

Birgit Rudloff

Univ.Prof. PD Dipl. Wirtsch.-Math. Dr. Birgit Rudloff

Univ.Prof. PD Dipl. Wirtsch.-Math. Dr. Birgit Rudloff

Office hours: by appointment
Assistant: Claudia Hoffmann
 

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

  • A set-valued Bellman's principle

  • Aumann integrals, stochastic differential inclusions

Short Vita

Research Group

PostDocs
PhD students

Publications

Editorial Work

Set Optimization and Applications in Finance - The State of the Art. From Set-Relations to Set-Valued Risk Measures.
(co-edited with A.H. Hamel, F. Heyde, A. Löhne, C. Schrage).
Springer Proceedings in Mathematics & Statistics, Vol. 151, Springer, 2015.
331 pages. ISBN: 978-3-662-48668-9

Submitted papers and preprints

  • Z. Feinstein, B. Rudloff: Deep Learning the Efficient Frontier of Convex Vector Optimization Problems. [preprint] at arXiv.
    Submitted for publication.

  • Z. Feinstein, B. Rudloff: Characterizing and Computing the Set of Nash Equilibria via Vector Optimization. [preprint] at arXiv.
    Submitted for publication.

    → 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 will be featured in the magazine 'Falter' on May 18, 2022.

Peer-reviewed publication

2022

2021

2020

2018

2017

2015

2014

2013

2011

2010

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

2009

2008

2007

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