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Birgit Rudloff

Deputy In­sti­tute Chair

Ad­dress:

Welthan­delsplatz 1, Build­ing D4, En­trance A, 4th Floor

1020 Vi­enna, Aus­tria

Phone: +43 1 31336-4731

Email

Of­fice assist­ant: Claudia Hoff­mann

Of­fice hours: by ap­point­ment

 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

  • G. Kováčová, B. Rud­loff: Time con­sist­ency of the mean-risk prob­lem. [pre­print] at arXiv.
    Sub­mit­ted for pub­lic­a­tion.

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

  • Z. Fein­stein, B. Rud­loff: Scalar mul­tivari­ate risk meas­ures with a single eli­gible as­set. [pre­print] at arXiv.
    Sub­mit­ted for pub­lic­a­tion.

  • Z. Fein­stein, B. Rud­loff: Time con­sist­ency for scalar mul­tivari­ate risk meas­ures [pre­print] at arXiv.
    Sub­mit­ted for pub­lic­a­tion.

Peer­-re­viewed pub­lic­a­tion

  • 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.
    Forth­com­ing in SIAM Journal on Fin­an­cial Mathem­at­ics.

  • Z. Fein­stein, B. Rud­loff (2018): A Su­per­martin­gale Re­la­tion for Mul­tivari­ate Risk Meas­ures. [pdf] at arXiv.
    Forth­com­ing in Quant­it­at­ive Fin­ance, DOI: 10.1080/14697688.2018.1459810

  • 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.

  • 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

  • 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] at arXiv.
    Bernoulli
    16 (4), 1224 - 1239.

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

  • 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.

  • B. Rud­loff (2007): Con­vex Hedging in In­com­plete Mar­kets. [pdf] at arXiv.
    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