Search Results - "Rudloff, Birgit"

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

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

Time Consistency of the Mean-Risk Problem.

Authors: Kováčová, Gabriela Rudloff, Birgit

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

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.

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

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.

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.

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.

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.

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

A supermartingale relation for multivariate risk measures.

Authors: Feinstein, Zachary Rudloff, Birgit

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

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.

Convex Hedging in Incomplete Markets.

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

Source: Applied Mathematical Finance. Dec2007, Vol. 14 Issue 5, p437-452. 16p.

A new concept of slope for set-valued maps and applications in set optimization studied with Kuroiwa's set approach.

Authors: Ha, Truong Xuan Duc¹, txdha@math.ac.vn

Source: Mathematical Methods of Operations Research; Feb2020, Vol. 91 Issue 1, p137-158, 22p

Quick Introduction into the General Framework of Portfolio Theory.

Authors: Kreins, Philipp Maier-Paape, Stanislaus Zhu, Qiji Jim

Source: Risks. Aug2024, Vol. 12 Issue 8, p132. 24p.

Multi-portfolio time consistency for set-valued convex and coherent risk measures.

Authors: Feinstein, Zachary Rudloff, Birgit

Source: Finance & Stochastics. Jan2015, Vol. 19 Issue 1, p67-107. 41p.

SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES.

Authors: ARARAT, ÇAĞIN HAMEL, ANDREAS H. RUDLOFF, BIRGIT

Source: International Journal of Theoretical & Applied Finance. Aug2017, Vol. 20 Issue 5, p-1. 48p.

Elicitability and identifiability of set-valued measures of systemic risk.

Authors: Fissler, Tobias Hlavinová, Jana Rudloff, Birgit

Source: Finance & Stochastics. 2021, Vol. 25 Issue 1, p133-165. 33p.