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Birgit Rudloff


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

1020 Vi­enna, Aus­tria

Phone: +43 1 31336-4731


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


PhD stu­dents


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

  • Ç. 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.

  • Ç. Ararat, A. Hamel, B. Rud­loff: Set-­val­ued short­fall and di­ver­gence risk meas­ures. [pre­print] at arXiv. Ac­cep­ted sub­ject to minor re­vi­sions at the
    In­ter­na­tional Journal of The­or­et­ical and Ap­plied Fin­ance

Peer­-re­viewed pub­lic­a­tion


Con­fer­ences & Sem­inar Talks