Birgit Rudloff

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Deputy Institute Chair


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

Research Group

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 and preprints

  • Z. Feinstein, B. Rudloff, J. Zhang: Dynamic Set Values for Nonzero Sum Games with Multiple Equilibriums. [preprint] at arXiv.
    Submitted for publication.

  • T. Fissler, R. Frongillo, J. Hlavinová, B. Rudloff: Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals. [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.

  • A. Hamel, B. Rudloff, Z. Zhou: Robust no arbitrage and the solvability of vector-valued utility maximization problems. [preprint] at arXiv.
    Submitted for publication.


Peer-reviewed publication