Birgit Rudloff

Con­fer­ence

SET OP­TIM­IZ­A­TION for AP­PLIC­A­TIONS, Septem­ber 19-23, 2016, Vi­enna Uni­versity of Eco­nom­ics and Busi­ness, Vi­enna, Aus­tria

 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

• Vi­enna Uni­versity of Eco­nom­ics and Busi­ness (2015- present)
  As­so­ci­ate Pro­fessor since Feb­ru­ary 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-August 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.

PhD stu­dents

• Firdevs Ulus (2011-2015)
  

• Ca­gin Ararat (2011-2015)
  

• Zach Fein­stein (2010-2014)

Pub­lic­a­tions

Ed­it­or­ial Work

Sub­mit­ted pa­pers

• C. Ararat, B. Rud­loff: Dual rep­res­ent­a­tions for sys­temic risk meas­ures. [pre­print] at arXiv. Sub­mit­ted for pub­lic­a­tion

• Z. Fein­stein, B. Rud­loff: A Su­per­martin­gale Re­la­tion for Mul­tivari­ate Risk Meas­ures. [pre­print]
  Sub­mit­ted for pub­lic­a­tion.

• Z. Fein­stein, B. Rud­loff, S. Weber: Meas­ures of sys­temic risk. [pre­print] at arXiv. Sub­mit­ted for pub­lic­a­tion.

• C. Ararat, A. Hamel, B. Rud­loff: Set-­val­ued short­fall and di­ver­gence risk meas­ures. [pre­print] at arXiv. Sub­mit­ted for pub­lic­a­tion.

Peer­-re­viewed pub­lic­a­tion

• Z. Fein­stein, B. Rud­loff (2016): A re­curs­ive al­gorithm for mul­tivari­ate risk meas­ures and a set-­val­ued Bell­man's prin­ciple. [pdf] at arXiv.

  Journal of Global Op­tim­iz­a­tion. DOI: 10.1007/s10898-016-0459-8.

• B. Rud­loff, F. Ulus, R. Vander­bei (2016): A para­met­ric sim­plex al­gorithm for lin­ear vector op­tim­iz­a­tion prob­lems. [pdf] at arXiv.

  Mathem­at­ical Pro­gram­ming SER­IES A. DOI: 10.1007/s10107-016-1061-z.

• 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.

• C. 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

• 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).
  A Mat­Lab as well as a C 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 [Ben­son]

• 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.
  A Mat­Lab im­ple­ment­a­tion (by F. Ulus) can be down­loaded here [con­vex Ben­son]

• 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 [Ben­son]

• 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.

• 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.

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

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

• B. Rud­loff, J. Sass, R. Wun­der­lich (2008): En­tropic Risk Con­straints for Util­ity Max­im­iz­a­tion. [pdf]
  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. [pdf]
  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.

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

• 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. [pdf]
  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 [pdf]]
  Ad­visor: Prof. W. Grecksch.

Con­fer­ences & Sem­inar Talks

2016

• July 2016, Con­trib­uted talk at the 9th World Con­gress of the Bachelier Fin­ance So­ci­ety, NYC, US

• June 2016, Sem­inar at Jo­han­nes Kepler Uni­versity Linz, Aus­tria

• June 2016, Sem­inar at Vi­enna Uni­versity of Eco­nom­ics and Busi­ness, Aus­tria

• June 2016, Ran­dom Sets in Ac­tion Work­shop, Uni­versity of Bern, 6-8 June 2016

• May 2016, In­vited Talk at Con­fer­ence "Ro­bust Fin­ance and Bey­ond" ZiF, Biele­feld, Ger­many

• April 2016, Scien­ti­fic Day of the Ger­man Ac­tu­ar­ial So­ci­ety, April 29 in Bre­men

• March 2016, Work­shop on Set Op­tim­iz­a­tion, Ab­stract Con­vex­ity and Ap­plic­a­tions in Eco­nom­ics,  March 07, 2016,  Free Uni­versity of Bolzano, Bru­nico

• Janu­ary 2016, JMM Seattle, Janu­ary 09, 2016.

2015

• Novem­ber 2015, ISOR col­loquium at Uni­versity of Vi­enna, Novem­ber 30, 2015.

• Oc­to­ber 2015, Sem­inar at Vi­enna Uni­versity of Eco­nom­ics and Busi­ness on "vector op­tim­iz­a­tion", Oc­to­ber 21, 2015.

• Oc­to­ber 2015, Sem­inar at Vi­enna Uni­versity of Eco­nom­ics and Busi­ness on "sys­temic risk", Oc­to­ber 07, 2015.

• Septem­ber 2015, Bozen-Bolzano Risk School, Italy

• July 2015, Sem­inar at Politec­nico di Mil­ano, Italy.

• June 2015, Re­search talk and open prob­lem ses­sion on sys­temic risk at Mathem­at­ics Re­search Com­munity, Snow­bird, Utah, June 14-20, 2015

• June 2015, Re­search talk and open prob­lem ses­sion on op­timal in­vest­ment un­der trans­ac­tion costs at Mathem­at­ics Re­search Com­munity, Snow­bird, Utah, June 14-20, 2015

• June 2015, In­vited talk at Work­shop on Knight­ian Un­cer­tainty in Stra­tegic In­ter­ac­tions and Mar­kets, ZiF, Biele­feld, June 10-13, 2015

• June 2015, In­vited talk at Jour Fixe on Ro­bust Fin­ance: Stra­tegic Power, Knight­ian Un­cer­tainty, and the Found­a­tions of Eco­nomic Policy Ad­vice, ZiF, Biele­feld, June 3, 2015

• May 2015, Talk at Con­fer­ence on Mathem­at­ical Fin­ance and Par­tial Dif­fer­en­tial Equa­tions at Rut­gers Uni­versity, New Brun­swick

2014

• Decem­ber 2014, In­vited talk at Work­shop on The Fu­ture of Risk Meas­ure­ment, Leib­niz Uni­versity Han­nover, Decem­ber 11, 2014

• Novem­ber 2014, In­vited talk at SIAM Con­fer­ence on Fin­an­cial Mathem­at­ics & En­gin­eer­ing, Ch­icago, Novem­ber 13-15, 2014

• Novem­ber 2014, Sem­inar at Col­le­gio Carlo Al­berto, Torino, Italy, Novem­ber 6, 2014

• Oc­to­ber 2014, 5th CEQURA Con­fer­ence on Ad­vances in Fin­an­cial & In­sur­ance Risk Man­age­ment, Mu­nich, Oc­to­ber 1-2, 2014

• Septem­ber 2014, In­vited talk at Prin­ceton-Cam­bridge Con­fer­ence, Cam­bridge, Septem­ber 26-27, 2014

• Septem­ber 2014, In­vited talk at mini work­shop Re­cent ad­vances in mathem­at­ical fin­ance at Uni­versity of Padova, Italy, Septem­ber 22, 2014

• Septem­ber 2014, In­vited talk 'Sys­temic Risk Meas­ure­ment' at con­fer­ence SET OP­TIM­IZ­A­TION meets FIN­ANCE, Bru­neck­-Bru­nico, Italy, Septem­ber 12, 2014

• Septem­ber 2014, Tutorial 'Set-­Val­ued Mod­els in Fin­ance' at con­fer­ence SET OP­TIM­IZ­A­TION meets FIN­ANCE, Bru­neck­-Bru­nico, Italy, Septem­ber 8, 2014

2013

• July 2013, In­vited talk at ICSP 2013 - In­ter­na­tional Con­fer­ence on Stochastic Pro­gram­ming, Ber­gamo, Italy.

• June 2013, lec­ture at RTG Sum­mer School in Fin­an­cial Mathem­at­ics, Prin­ceton Uni­versity.

• May 2013, Fac­ulty Sem­inar, Prin­ceton Uni­versity, "A gen­er­al­ized Bell­man prin­ciple for set-­val­ued func­tions with ap­plic­a­tions in fin­ance".

• March 2013, Fin­an­cial Mathem­at­ics Sem­inar, Uni­versity of Pitt­s­burgh, "Su­per­hedging and risk meas­ure un­der trans­ac­tion costs".

• March 2013, Prob­ab­il­ity/Mathem­at­ical Fin­ance Sem­inar, Carne­gie Mel­lon Uni­versity, "Time con­sist­ency of dy­namic risk meas­ures in mar­kets with trans­ac­tion costs".

• Janu­ary 2013, FIAS, Frank­furt, "Dy­namic risk meas­ures and price bounds in mar­kets with trans­ac­tion costs".

• Janu­ary 2013, In­vited talk at Sev­enth Bachelier Col­loquium, Meta­bief, France, Janu­ary 13-20, 2013.

2012

• Oc­to­ber 2012, Bloomberg, NYC.

• August 2012, In­vited talk at SET OP­TIM­IZ­A­TION meets FIN­ANCE, Luth­er­stadt Wit­ten­berg, Ger­many, August 17-19, 2012

• July 2012, In­vited talk at SIAM Con­fer­ence on Fin­an­cial Mathem­at­ics and En­gin­eer­ing, Min­neapolis, July 9-11, 2012.

• June 2012, In­vited talk at Prob­ab­il­ity, Con­trol and Fin­ance: A Con­fer­ence in Honor of the 60th Birth­day of Ioan­nis Kar­atzas, Columbia Uni­versity, New York, June 4-8, 2012.

• Janu­ary 2012, In­vited key­note talk at Sixth Bachelier Col­loquium, Meta­bief, France, Janu­ary 15-22, 2012.

• Janu­ary 2012, In­vited talk at Joint Mathem­at­ics Meet­ing/AMS Meet­ing, Bo­ston, Janu­ary 4, 2012.

2011

• Novem­ber 2011, In­vited talk at IN­FORMS, Novem­ber 15, 2011.

• Novem­ber 2011, Mathem­at­ical fin­ance and pde's, Rut­gers, New Brun­swick, Novem­ber 4, 2011.

• Oc­to­ber 2011, In­vited talk at Hum­boldt - Prin­ceton Con­fer­ence: Risk Pat­terns in Eco­nom­ics, Stat­ist­ics, Fin­ance and Medi­cine, Ber­lin.

• Septem­ber 2011, In­vited talk at Prin­ceton-Cam­bridge Con­fer­ence, Prin­ceton.

• July 2011, Re­search Sem­inar, Hum­boldt Uni­versity, Ber­lin, July 12, 2011.

• March 2011, In­vited talk at 35th SIAM South­east­ern At­lantic Sec­tion Con­fer­ence, March 26-27, 2011.

2010

• Novem­ber 2010, In­vited talk at IN­FORMS, Austin, Novem­ber 7-10, 2010, "Risk meas­ures in a mul­ti-as­set model with trans­ac­tion costs".

• Oc­to­ber 2010, Stat­ist­ics and Prob­ab­il­ity Sem­inar, Bo­ston Uni­versity, Oc­to­ber 19, 2010.

• Oc­to­ber 2010, In­vited talk at Ox­ford-­Prin­ceton Work­shop, Ox­ford, Oc­to­ber 8-9, 2010.

• July 2010, Ana­lysis, Stochastics, and Ap­plic­a­tions, Wien, July 12-16, 2010, "Risk meas­ures for mul­tivari­ate ran­dom vari­ables in mar­kets with trans­ac­tion costs".

• May 2010, In­vited talk at AMS Eastern Sec­tional Meet­ing, Ne­wark, May 22-23, 2010, "Risk meas­ures for port­fo­lio vectors in mar­kets with ran­dom solvency cones".

• April 2010, Fin­an­cial Mathem­at­ics Sem­inar, Uni­versity of Michigan, "Hedging and Risk Meas­ure­ment un­der Pro­por­tional Trans­ac­tion Costs".

• March 2010, In­vited talk at Work­shop on Com­pu­ta­tional Meth­ods in Fin­ance, Fields In­sti­tute, Toronto, March 22-24, 2010, "Hedging and Risk Meas­ure­ment un­der Pro­por­tional Trans­ac­tion Costs".

• Feb­ru­ary 2010, Mathem­at­ical Fin­ance Sem­inar, Tech­nical Uni­versity Mu­nich.

2009

• Oc­to­ber 2009, In­vited talk at Prin­ceton-Hum­boldt Work­shop: Per­ceiv­ing and Meas­ur­ing Fin­an­cial Risk: Credit, En­ergy and Il­li­quid­ity, Prin­ceton, Oc­to­ber 30-31, 2009, "Hedging un­der Pro­por­tional Trans­ac­tion Costs".

• July 2009, SPA Ber­lin 2009: 33rd Con­fer­ence on Stochastic Pro­cesses and Their Ap­plic­a­tions, Ber­lin, July 27-31, 2009, "Hedging un­der Pro­por­tional Trans­ac­tion Costs".

• July 2009, Mathem­at­ical Fin­ance Sem­inar, IMPA , Rio de Janeiro, "Port­fo­lio Op­tim­iz­a­tion Un­der Boun­ded Risk".

• July 2009, In­vited talk at VIII Brazilian Work­shop on Con­tinu­ous Op­tim­iz­a­tion, Mam­bu­caba, Rio de Janeiro, July 13-17, 2009, "Hedging un­der Pro­por­tional Trans­ac­tion Costs".

• April 2009, Sem­inar of Ac­tu­ar­ial Science and Mathem­at­ical Fin­ance, Uni­versity of Toronto, "Op­timal In­vest­ment Strategies Un­der Boun­ded Risk".

• March 2009, Mathem­at­ical Fin­ance Sem­inar, Uni­versity of Wuerzburg, "Du­al­ity Meth­ods in Fin­an­cial Mathem­at­ics".

• Janu­ary 2009, Joint Mathem­at­ics Meet­ing, co-or­gan­izer of AMS Spe­cial Ses­sion on Fin­an­cial Mathem­at­ics, Wash­ing­ton, DC, and talk "Util­ity Max­im­iz­a­tion un­der Risk Con­straints".