Search Results - "Rudloff, Birgit"

Technical Note—Characterizing and Computing the Set of Nash Equilibria via Vector Optimization.

Authors: Feinstein, Zachary Rudloff, Birgit

Source: Operations Research. Sep/Oct2024, Vol. 72 Issue 5, p2082-2096. 15p.

Approximations of unbounded convex projections and unbounded convex sets.

Authors: Kováčová, Gabriela Rudloff, Birgit

Source: Journal of Global Optimization; Apr2025, Vol. 91 Issue 4, p787-805, 19p

SET-VALUED INTRINSIC MEASURES OF SYSTEMIC RISK.

Authors: HLAVINOVÁ, JANA RUDLOFF, BIRGIT SMIRNOW, ALEXANDER

Source: International Journal of Theoretical & Applied Finance. Nov/Dec2024, Vol. 27 Issue 7/8, p1-34. 34p.

Deep learning the efficient frontier of convex vector optimization problems.

Authors: Feinstein, Zachary Rudloff, Birgit

Source: Journal of Global Optimization; Oct2024, Vol. 90 Issue 2, p429-458, 30p

Scalar Multivariate Risk Measures with a Single Eligible Asset.

Authors: Feinstein, Zachary Rudloff, Birgit

Source: Mathematics of Operations Research (INFORMS). May2022, Vol. 47 Issue 2, p899-922. 24p.

Dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums.

Authors: Feinstein, Zachary Rudloff, Birgit Zhang, Jianfeng

Source: Mathematics of Operations Research (INFORMS). Feb2022, Vol. 47 Issue 1, p616-642. 27p.

Time Consistency of the Mean-Risk Problem.

Authors: Kováčová, Gabriela Rudloff, Birgit

Source: Operations Research. Jul/Aug2021, Vol. 69 Issue 4, p1100-1117. 18p.

Approximating the Set of Nash Equilibria for Convex Games.

Authors: Feinstein, Zachary Hey, Niklas Rudloff, Birgit

Source: Operations Research. Sep/Oct2025, Vol. 73 Issue 5, p2729-2743. 15p.

Convex projection and convex multi-objective optimization.

Authors: Kováčová, Gabriela Rudloff, Birgit

Source: Journal of Global Optimization; Jun2022, Vol. 83 Issue 2, p301-327, 27p

ACCEPTABILITY MAXIMIZATION.

Authors: KOVÁĆOVÁ, GABRIELA RUDLOFF, BIRGIT CIALENCO, IGOR

Source: Frontiers of Mathematical Finance. Jun2022, Vol. 1 Issue 2, p211-240. 30p.

Time consistency for scalar multivariate risk measures.

Authors: Feinstein, Zachary Rudloff, Birgit

Source: Statistics & Risk Modeling. Jul2021, Vol. 38 Issue 3/4, p71-90. 20p.

A supermartingale relation for multivariate risk measures.

Authors: Feinstein, Zachary Rudloff, Birgit

Source: Quantitative Finance. Dec2018, Vol. 18 Issue 12, p1971-1990. 20p.

ALGORITHMS TO SOLVE UNBOUNDED CONVEX VECTOR OPTIMIZATION PROBLEMS.

Authors: WAGNER, ANDREA ULUS, FIRDEVS RUDLOFF, BIRGIT et al.

Source: SIAM Journal on Optimization; 2023, Vol. 33 Issue 4, p2598-2624, 27p

A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle.

Authors: Feinstein, Zachary Rudloff, Birgit

Source: Journal of Global Optimization; May2017, Vol. 68 Issue 1, p47-69, 23p

A parametric simplex algorithm for linear vector optimization problems.

Authors: Rudloff, Birgit Ulus, Firdevs Vanderbei, Robert

Source: Mathematical Programming; May2017, Vol. 163 Issue 1/2, p213-242, 30p

Primal and dual approximation algorithms for convex vector optimization problems.

Authors: Löhne, Andreas Rudloff, Birgit Ulus, Firdevs

Source: Journal of Global Optimization; Dec2014, Vol. 60 Issue 4, p713-736, 24p

Benson type algorithms for linear vector optimization and applications.

Authors: Hamel, Andreas Löhne, Andreas Rudloff, Birgit

Source: Journal of Global Optimization; Aug2014, Vol. 59 Issue 4, p811-836, 26p

AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS.

Authors: LÖHNE, ANDREAS RUDLOFF, BIRGIT

Source: International Journal of Theoretical & Applied Finance. Mar2014, Vol. 17 Issue 2, p1-33. 33p. 2 Charts, 3 Graphs.

Time consistency of dynamic risk measures in markets with transaction costs.

Authors: Feinstein, Zachary Rudloff, Birgit

Source: Quantitative Finance. Sep2013, Vol. 13 Issue 9, p1473-1489. 17p.

Coherent hedging in incomplete markets.

Authors: Rudloff, Birgit¹ (AUTHOR) brudloff@princeton.edu

Source: Quantitative Finance. Mar2009, Vol. 9 Issue 2, p197-206. 10p.