Vorlesen

Birgit Rudloff

Der Inhalt dieser Seite ist aktuell nur auf Englisch verfügbar.

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.
    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.

  • 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