portrait photo

Birgit Rudloff

Univ.Prof. Dipl.Wirtsch.-Math.Dr.rer.nat. Birgit Rudloff
Telephone:
+43 1 31336 4731
Email:
Contact information and photo taken from and editable at WU Directory.

Affiliation

CV

since 2017
Full Professor, Institute for Statistics and Mathematics, Vienna University of Economics and Business
2016
Associate Professor, Institute for Statistics and Mathematics, Vienna University of Economics and Business
2016
Habilitation in Financial Mathematics, Vienna University of Economics and Business
2015-2016
Assistant Professor, Institute for Statistics and Mathematics, Vienna University of Economics and Business
2006-2015
Assistant Professor, ORFE, Princeton University
2002-2006
PhD Martin-Luther-University Halle-Wittenberg
1996-2002
Master in Financial Mathematics Martin-Luther-University Halle-Wittenberg

Researcher Identifier

Awards and Honors

2020-2024
FWF Funding, of Vienna Graduate School on Computational Optimization, co-PI, 1.854.478,50 Euro
2019-2023
OeNB Research grant: Dynamic measures of systemic risk, PI, 170.000,- Euro
2015
Mathematics research community in Financial Mathematics, co-organizer, $80.000 - $100.000, program coordinated by AMS, funded by NSF
2013
SEAS/ORFE Research grant, $10.000
2012
BCF Research grant
2010-2014
NSF award DMS-1007938: Pricing, Hedging and Measuring Risk in Markets with Transaction Costs, PI (Principal Investigator), $180.000
2008-2014
NSF EMSW21 - RTG: Training, Mentoring and Research in the Mathematics of Stochastic Analysis and Applications, co-PI, $4.534.455
2005
Best Paper Award, Second Brazilian Conf. on Stat. Modeling in Insurance and Finance
DAAD Fellowship
2002-2005
Graduation Fellowship
2002
Award for the best Master Thesis from Gothaer Lebensversicherung a.G.

Classifications

  • 1118 Probability theory (Details)
  • 1137 Financial mathematics (Details)
  • 5361 Financial management (Details)

Expertise

  • multivariate risks
  • risk management
  • systemic risk
  • vector optimization

Activities

Position in scientific committee
  2020-2021 Vice Chair of the SIAM Activity Group on Financial Mathematics and Engineering
Position in committee for appointments
  2016 University of Zurich - external reviewer
Position in internal committee for appointments
  2022 Institute for Finance, Banking and Insurance (Professorship for Endowment Management) - member
  2019 Institute for Finance, Banking and Insurance (Professorship for Finance and Impact Investments) - member
  2017 Institute for Finance, Banking and Insurance (Professorship for Endowment Management) - member
Position in internal habilitation committee
  2022 Habilitationskommission Dr. Paul Eisenberg - member
  2018 Habilitationskommission Dr. Stefan Sobernig - member
  2018 Habilitationskommission Dr. Kathrin Figl - member
  2017 Habilitationskommission Dr. Otto Randl - member
  2017 Gutachter Habilitationsverfahren Dr. Zehra Eksi-Altay - reviewer
Reviewer for scientific organization
  since 2009 NSF Division of Mathematical Sciences - Reviewer
Membership in scientific association
  2022 INFORMS
  since 2019 SIAM Activity Group on Financial Mathematics and Engineering
  since 2016 Bachelier Finance Society
  since 2015 American Mathematical Society (AMS)
Member of the editorial board
  2014-2017 Set-Valued and Variational Analysis
Reviewer for a scientific journal
  2020 Operations Research Letters
  2020 Annals of Applied Probability
  2016 Annals of Finance
  2015 SIAM Journal on Optimization
  2015-2016 Optimization
  2015 Journal of Theoretical Probability
  2015 International Journal of Risk Assessment and Management
  2015 Bulletin of the Iranian Mathematical Society
  2015 Applied Mathematical Finance
  2015-2016 Acta Mathematica Scientia
  2014 Computational Optimization and Applications
  2013 International Journal of Theoretical and Applied Finance
  since 2010 SIAM Journal on Financial Mathematics
  2010 Mathematics and Financial Economics
  2009 Operations Research
  since 2009 Mathematics of Operations Research
  2009 Mathematical Methods of Operations Research
  since 2009 Finance and Stochastics
  2009 Annals of Applied Probability
  2008 The Journal of Risk
  2008 Statistics & Decisions
  since 2008 Mathematical Finance
  since 2008 Advances in Applied Probability
  2006 Stochastic Analysis and Applications
Reviewer for a series
  2014 Séminaire de Probabilités
Organization scientific meeting (Conference etc.)
  2022 Conference 'Set Optimization for Applications', Bilkent University, Ankara - Co-organizer
  2021 Session on Time (In-)Consistency at SIAM Conference on Financial Mathematics and Engineering - Co-organizer
  2020 Section ``Stochastic optimization and operations research'' at German Probability and Statistics Days - Co-organizer
  2019 Workshop on dynamic multivariate programming II, WU Wien - Organizer
  2019 Vienna Congress on Mathematical Finance - Co-organizer
  2019 Conference 'Set Optimization for Applications', Friedrich Schiller University Jena - Co-organizer
  2018 Workshop on dynamic multivariate programming, WU Wien - Organizer
  2018 Österreichischen Stochastiktage, WU Wien - Co-organizer
  2016 Vienna Congress on Mathematical Finance, Vienna, Austria - Co-organizer
  2016 Conference 'Set Optimization for Applications', Vienna, Austria - Co-organizer
  2015 Summer research school in Financial Mathematics (MRC, funded by AMS via NSF), Snowbird, Utah, USA - Co-organizer
  2014 Conference 'Set Optimization meets Finance', Bruneck, Italy - Co-organizer
  2013 4th Princeton-Humboldt Conference, Princeton, USA - Co-organizer
  2012 Conference 'Set Optimization meets Finance', Lutherstadt Wittenberg, Germany - Co-organizer
  2009 Session on Financial Mathematics at Joint Mathematics Meeting, Washington D.C., USA - Co-organizer
  2009 Panel Discussion for Women in Financial Mathematics at Joint Mathematics Meeting, Washington D.C., USA
Position in administration
  since 2018 Institute for Statistics and Mathematics, WU Vienna - stellvertretende Institutsvorständin
  2018-2019 Arbeitsgemeinschaft First Year, WU Vienna - member
  2010-2015 Executive Committee, Bendheim Center for Finance, Princeton University
  2008-2011 Committee of Conferences and Faculty Appeal, Princeton University
Academic advisor
  2006-2015 Academic Advising, ORFE, Princeton University
Supervisor dissertation
  since 2020 Niklas Hey, WU Wien
  2017-2018 Christian Diem, WU Wien
  2016-2022 Jana Hlavinova, WU Wien
  2016-2022 Gabriela Kovacova, WU Wien
  2011-2015 Firdevs Ulus 'Algorithms for vector optimization problems', Princeton University
  2011-2015 Cagin Ararat 'On set-valued functionals: multivariate risk measures and Aumann integrals', Princeton University
  2010-2014 Zachary Feinstein 'Time consistency of set-valued risk measures', Princeton University
Research and Teaching Stay
  2015 Research Group Robust Finance: Strategic Power, Knightian Uncertainty, and the Foundations of Economic Policy Advice, ZiF, Bielefeld - Associate Member
  2008 University Santiago de Chile, Center for Mathematical Modeling
  2005-2006 IMPA (Instituto Nacional de Matemtica Pura e Aplicada), Rio de Janeiro

Publications

Journal article

2022 Kovacova, Gabriela, Rudloff, Birgit, Cialenco, Igor. 2022. Acceptability maximization. Frontiers of Mathematical Finance. 1 (2), 219-248. open access (Details)
  Kovacova, Gabriela, Rudloff, Birgit. 2022. Convex Projection and Convex Vector Optimization. Journal of Global Optimization. 83 301-327. open access (Details)
  Feinstein, Zachary, Rudloff, Birgit, Zhang, Jianfeng. 2022. Dynamic Set Values for Nonzero Sum Games with Multiple Equilibriums. Mathematics of Operations Research. 47 (1), 616-642. (Details)
  Feinstein, Zachary, Rudloff, Birgit. 2022. Scalar multivariate risk measures with a single eligible asset. Mathematics of Operations Research. 47 (2), 899-922. open access (Details)
2021 Rudloff, Birgit, Ulus, Firdevs. 2021. Certainty Equivalent and Utility Indifference Pricing for Incomplete Preferences via Convex Vector Optimization. Mathematics and Financial Economics. 15 (2), 397-430. (Details)
  Fissler, Tobias, Hlavinova, Jana, Rudloff, Birgit. 2021. Elicitability and Identifiability of Systemic Risk Measures. Finance and Stochastics. 25 (1), 133-165. open access (Details)
  Fissler, Tobias, Frongillo, Rafael, Hlavinova, Jana, Rudloff, Birgit. 2021. Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals. Electronic Journal of Statistics. 15 (1), 1034-1084. open access (Details)
  Feinstein, Zachary, Rudloff, Birgit. 2021. Time consistency for scalar multivariate risk measures. Statistics and Risk Modeling. 38 (3-4), 71-90. (Details)
  Kovacova, Gabriela, Rudloff, Birgit. 2021. Time consistency of the mean-risk problem. Operations Research. 69 (4), 1100-1117. open access (Details)
2020 Ararat, Çagin, Rudloff, Birgit. 2020. Dual representations for systemic risk measures. Mathematics and Financial Economics. 14 (1), 139-174. (Details)
2018 Feinstein, Zachary, Rudloff, Birgit. 2018. A Supermartingale Relation for Multivariate Risk Measures. Quantitative Finance. 18 (12), 1971-1990. (Details)
  Feinstein, Zachary, Pang, Weijie, Rudloff, Birgit, Schaanning, Eric, Sturm, Stephan, Wildman, Mackenzie. 2018. Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. SIAM Journal on Financial Mathematics. 9 (4), 1286-1325. (Details)
2017 Rudloff, Birgit, Ulus, Firdevs, Vanderbei, Robert. 2017. A parametric simplex algorithm for linear vector optimization problems. Mathematical Programming 163 (1), 213-242. (Details)
  Feinstein, Zachary, Rudloff, Birgit. 2017. A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle. Journal of Global Optimization 68 (1), 47-69. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2017. Measures of systemic risk. SIAM Journal on Financial Mathematics 8 (1), 672-708. (Details)
  Ararat, Çagin, Hamel, Andreas, Rudloff, Birgit. 2017. Set-valued shortfall and divergence risk measures. International Journal of Theoretical and Applied Finance 20 (5), 1750026 (Details)
2015 Ararat, Çagin, Rudloff, Birgit. 2015. A Characterization Theorem for Aumann Integrals. Set-Valued Var. Anal 23 (2): S. 305-318. (Details)
  Feinstein, Zachary, Rudloff, Birgit. 2015. Multi-portfolio time consistency for set-valued convex and coherent risk measures. Finance and Stochastics 19 (1): S. 67-107. (Details)
  Löhne, Andreas, Rudloff, Birgit. 2015. On the dual of the solvency cone. Discrete Applied Mathematics 186 S. 176-185. (Details)
2014 Löhne, Andreas, Rudloff, Birgit. 2014. An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. Int. J. Theor. Appl. Finan. 17 (02): S. 1450012-[33 p]. (Details)
  Hamel, Andreas, Löhne, Andreas, Rudloff, Birgit. 2014. Benson type algorithms for linear vector optimization and applications. Journal of Global Optimization 59 (4): S. 811-836. (Details)
  Löhne, Andreas, Rudloff, Birgit, Ulus, Firdevs. 2014. Primal and dual approximation algorithms for convex vector optimization problems. Journal of Global Optimization 60 (4): S. 713-736. (Details)
  Rudloff, Birgit, Street, Alexandre, Valladão, Davi. 2014. Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences. European Journal of Operational Research 234 (3): S. 743-750. (Details)
2013 Hamel, Andreas, Rudloff, Birgit, Yankova, Mihaela. 2013. Set-valued average value at risk and its computation. Math Finan Econ 7 (2): S. 229-246. (Details)
  Feinstein, Zachary, Rudloff, Birgit. 2013. Time consistency of dynamic risk measures in markets with transaction costs. Quantitative Finance 13 (9): S. 1473-1489. (Details)
2011 Hamel, Andreas, Heyde, Frank, Rudloff, Birgit. 2011. Set-valued risk measures for conical market models. Math Finan Econ 5 (1): S. 1-28. (Details)
2010 Rudloff, Birgit, Karatzas, Ioannis. 2010. Testing composite hypotheses via convex duality. Bernoulli 16 (4): S. 1224-1239. (Details)
2009 Rudloff, Birgit. 2009. Coherent hedging in incomplete markets. Quantitative Finance 9 (2): S. 197-206. (Details)
2007 Rudloff, Birgit. 2007. Convex Hedging in Incomplete Markets. Applied Mathematical Finance 14 (5): S. 437-452. (Details)

Chapter in edited volume

2015 Feinstein, Zachary, Rudloff, Birgit. 2015. A comparison of techniques for dynamic multivariate risk measures. In: Set Optimization and Applications in Finance - The State of the Art, Hrsg. A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage, S. 3-41. Berlin Heidelberg: Springer. (Details)
  Hamel, Andreas, Heyde, Frank, Löhne, Andreas, Rudloff, Birgit, Schrage, Carola. 2015. Set optimization - a rather short introduction. In: Set Optimization and Applications in Finance - The State of the Art, Hrsg. A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage, S. 65-141. Berlin Heidelberg: Springer. (Details)
2008 Rudloff, Birgit, Sass, Jörn, Wunderlich, Ralf. 2008. Entropic Risk Constraints for Utility Maximization. In: Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday, Hrsg. Chr. Tammer, F. Heyde, S. 149-180. Aachen: Shaker. (Details)
  Hamel, Andreas, Rudloff, Birgit. 2008. Continuity and Finite-Valuedness of Set-Valued Risk Measures. In: Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday, Hrsg. Chr. Tammer, F. Heyde, S. 49-64. Aachen: Shaker. (Details)

Edited book (editorship)

2015 Hamel, Andreas, Heyde, Frank, Löhne, Andreas, Rudloff, Birgit, Schrage, Carola, Hrsg. 2015. Set Optimization and Applications in Finance - The State of the Art. Berlin Heidelberg: Springer. (Details)

Contribution to conference proceedings

2005 Rudloff, Birgit. 2005. A Generalized Neyman-Pearson Lemma for Hedge Problems in Incomplete Markets. In Proceedings of the Workshop Stochastische Analysis, Hrsg. Jürgen vom Scheidt, S. 241-250. Chemnitz: None. (Details)
  Rudloff, Birgit. 2005. Hedging with Convex Risk Measures. In Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and Finance, Hrsg. N. Kolev, P. Morettin, S. 192-197. São Paulo: None. (Details)

Paper presented at an academic conference or symposium

2021 Rudloff, Birgit. 2021. A Set-Valued Bellman Principle. SIAM Conference on Financial Mathematics and Engineering, online, Vereinigte Staaten/USA, 04. Juni 2021. (Details)
  Rudloff, Birgit. 2021. A Set-Valued Bellman Principle. INFORMS, Anaheim, CA (via Zoom), Vereinigte Staaten/USA, 26. October 2021. (Details)
  Rudloff, Birgit. 2021. Epic Math Battles: Nash vs Pareto. PhD Label Workshop, Gumpoldskirchen, Österreich, 15. September 2021. (Details)
  Rudloff, Birgit. 2021. Epic Math Battles: Nash vs Pareto. LSE Joint Risk and Stochastics and Financial Mathematics Seminar, London (online), Vereinigtes Königreich von Großbrit. u. Nordirland, 07. October 2021. (Details)
  Rudloff, Birgit. 2021. Multivariate Dynamic Programming: from dynamic Nash games to the Mean-Risk problem. Vienna Seminar in Mathematical Finance and Probability, Vienna, Österreich, 25. March 2021. (Details)
  Rudloff, Birgit. 2021. Set-valued optimization. VGSCO Seminar, Wien, Österreich, 04. Mai 2021. (Details)
  Rudloff, Birgit. 2021. Time consistency of the mean-risk-problem A Set-Valued Bellman Principle. German Probability and Statistics Days, Mannheim (online), Deutschland, 01. October 2021. Invited Talk (Details)
2020 Rudloff, Birgit. 2020. Multivariate Dynamic Programming: from the Mean-Risk Problem to Dynamic Nash Games. ERÖFFNUNGSKOLLOQUIUM doc.funds doctoral school Modeling – Analysis – Optimization of discrete, continuous, and stochastic systems, University Klagenfurt, Österreich, 27.10.2020. Invited Talk (Details)
  Rudloff, Birgit. 2020. Multivariate Dynamic Programming: from the Mean-Risk Problem to dynamic Nash games. Recent Advances in Multi-Objective Optimization Workshop, Linz (online), Österreich, 17.09.2020. Invited Talk (Details)
2019 Rudloff, Birgit. 2019. Dynamic Multivariate Programming. Set Optimization for Applications, Jena, Deutschland, Febr. 11-15. (Details)
  Rudloff, Birgit. 2019. Dynamic Multivariate Programming. Seminar University of Vienna, Wien, Österreich, 14.06.2019. (Details)
  Rudloff, Birgit. 2019. Dynamic Multivariate Programming. SIAM Conference on Financial Mathematics & Engineering, Toronto, Kanada, 05.06.2019. (Details)
  Rudloff, Birgit. 2019. Multivariate dynamic programming: from the Mean-Risk Problem to dynamic Nash games. Tag der Mathematik OeMG, TU Graz, Österreich, 22.11.2019. Invited Talk (Details)
  Rudloff, Birgit. 2019. time consistency on the mean-risk asset allocation problem. QuantMinds International, Wien, Österreich, 14.05.2019. (Details)
2018 Rudloff, Birgit. 2018. Dynamic Multivariate Programming. Vienna Workshop of Computational Optimization, Vienna, Österreich, 17-19 of December 2018. (Details)
  Rudloff, Birgit. 2018. Time consistency of the mean risk problem. Innovative Research in Mathematical Finance, Conference in honor of Yuri Kabanov, Marseille, Frankreich, 3.-7. September 2018. Invited Talk (Details)
  Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. IWAP 9TH INTERNATIONAL WORKSHOP ON APPLIED PROBABILITY, Budapest, Ungarn, 18-21.06.2018. (Details)
  Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. Bachelier Finance Society 10th world congress, Dublin, Irland, 16.-20. July 2018. (Details)
  Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. LMU Mathematics Institute, Oberseminar Finanz- und Versicherungsmathematik, Munich, Deutschland, 02.07.2018. (Details)
2017 Rudloff, Birgit. 2017. Dynamic programming for multivariate problems involving risk measures. Risk and Stochastics Conference, LSE, United Kingdom, 20-21.04.2017. Invited Talk (Details)
  Rudloff, Birgit. 2017. Dynamic programming for multivariate problems involving risk measures. Mathematical Finance, Probability, and Partial Differential Equations Conference, Rutgers University, United States/USA, 17.-19.05.2017. Invited Talk (Details)
  Rudloff, Birgit. 2017. Dynamic programming for multivariate problems involving risk measures. VGSCO Colloquium, Wien, Österreich, 06.12.2017. (Details)
  Rudloff, Birgit. 2017. Mengen- und Vektoroptimierung in der Finanzmathematik. Women in Optimization, Trier, Germany, 20-22.03.2017. Invited Talk (Details)
2016 Rudloff, Birgit. 2016. A recursive algorithm for dynamic multivariate risk measures and a set-valued Bellman¿s principle. Brown Bag Seminar, WU Wien, Vienna, Österreich, June 22, 2016. (Details)
  Rudloff, Birgit. 2016. Measures of Systemic Risk. Joint Mathematics Meeting, Seattle, United States/USA, 06.-09.01. Invited Talk (Details)
  Rudloff, Birgit. 2016. Measures of systemic risk. Workshop on Risk Measures, XVA Analysis, Capital Allocation and Central Counterparties, Shanghai Jiao Tong University, China, 27-29.10.2016. Invited Talk (Details)
  Rudloff, Birgit. 2016. Measures of systemic risk. 9th World Congress of the Bachelier Finance Society, New York City, United States/USA, 15-19 July 2016. (Details)
  Rudloff, Birgit. 2016. Multivariate Risks. Conference "Robust Finance and Beyond" ZiF, Bielefeld, Germany, 30.05-03.06. 2016. Invited Talk (Details)
  Rudloff, Birgit. 2016. Multivariate Risks. Scientific Day of the German Actuarial Society, Bremen, Germany, 29.04.2016. Invited Talk (Details)
  Rudloff, Birgit. 2016. Multivariate Risks and its connection to set- and vector optimization. Workshop Set Optimization for Applications, Vienna, Österreich, 19-23.09.2016. (Details)
  Rudloff, Birgit. 2016. Set-valued Risk Measures. Workshop Random Sets in Action, Bern, Switzerland, June 8-10, 2016. Invited Talk (Details)
  Rudloff, Birgit. 2016. Some News on Bellman's principle. Workshop on Set Optimization, Abstract Convexity and Applications in Economics, Brunico, Italy, 07.03.2016. Invited Talk (Details)
  Rudloff, Birgit. 2016. Systemic Risk. Seminar JKU Linz, Linz, Austria, June 21, 2016. Invited Talk (Details)
2015 Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Measures of systemic risk. Mathematics Research Community in Financial Mathematics, Snowbird, Vereinigte Staaten/USA, 15.-20.06. Invited Talk (Details)
  Rudloff, Birgit, Feinstein, Zachary, Weber, Stefan, Ararat, Cagin. 2015. Measures of systemic risk and their dual representations. Workshop on Knightian Uncertainty in Strategic Interactions and Markets, ZIF, Bielefeld, Deutschland, 10.-13.06. Invited Talk (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Measures of systemic risk. Conference on Mathematical Finance and PDEs, Rutgers University, New Brunswick, United States/USA, 01.05. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Measures of systemic risk. Seminar at Department of Mathematics, Politecnico di Milano, Italy, 15.07. (Details)
  Rudloff, Birgit. 2015. Multivariate Risiken. Research Seminar Otto-von-Guericke-Universität Magdeburg, Magdeburg, Germany, 23.01.2015. (Details)
  Rudloff, Birgit. 2015. Multivariate Risiken. Research Seminar at Brandenburgische Technische Universität Cottbus, Cottbus, Germany, 17.01.2015. (Details)
  Rudloff, Birgit. 2015. Multivariate Risks. Research Seminar at Vienna University of Economics and Business, Vienna, Austria, 21.01.2015. (Details)
  Rudloff, Birgit, Hamel, Andreas, Wang, Sophie. 2015. Optimal Investment under Transaction Costs. Mathematics Research Community in Financial Mathematics, Snowbird, Vereinigte Staaten/USA, 15.-20.06. Invited Talk (Details)
  Rudloff, Birgit, Feinstein, Zachary, Weber, Stefan. 2015. Systemic risk. PhD Seminar, WU Wien, Austria, 07.10. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Systemic risk. Bozen-Bolzano Risk School, Bolzano, Italy, 22.-23.09. Invited Talk (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Systemic risk and beyond: scalar versus multivariate approaches. ISOR colloquium, University of Vienna, Austria, 30.11. (Details)
  Feinstein, Zachary, Rudloff, Birgit. 2015. Systemic Risk and Beyond: Scalar vs Multivariate Approaches. Jour Fixe on Robust Finance: Strategic Power, Knightian Uncertainty, and the Foundations of Economic Policy Advice, ZIF, Bielefeld, Deutschland, 03.06. Invited Talk (Details)
  Rudloff, Birgit, Ulus, Firdevs, Vanderbei, Robert. 2015. Vector Optimization. PhD Seminar, WU Wien, Austria, 21.10. (Details)
2014 Feinstein, Zachary, Rudloff, Birgit. 2014. A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle. SIAM Conference on Financial Mathematics & Engineering, Chicago, United States/USA, 13.-15.11. (Details)
  Rudloff, Birgit. 2014. Measures of Systemic Risk. Seminar at Collegio Carlo Alberto, Torino, Italy, 05.11.-07.11. (Details)
  Rudloff, Birgit. 2014. Measures of systemic risk. CEQURA Conference on Advances in Financial & Insurance Risk Management, Munich, Germany, 01.10.-02.10. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2014. Measures of systemic risk. Conference "Set Optimization meets Finance" Free University of Bolzano, Italy, 08.-12.09. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2014. Measures of systemic risk. Workshop "Recent advances in mathematical finance" University of Padova, Italien, 22.09. Invited Talk (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2014. Measures of systemic risk. 10th Princeton-Cambridge Conference, Cambridge University, Großbritannien, 26.-27.09. Invited Talk (Details)
  Rudloff, Birgit. 2014. Multivariate Risks. Seminar at Hausdorff Center for Mathematics, University of Bonn, Bonn, Germany, 27.11.2014. (Details)
  Rudloff, Birgit. 2014. Multivariate Risks. Seminar at University Kassel, Kassel, Germany, 06.06.2014. (Details)
  Rudloff, Birgit. 2014. Multivariate Risks. Seminar at University Siegen, Siegen, Germany, 02.09.2014. (Details)
  Löhne, Andreas, Rudloff, Birgit. 2014. On the dual of the solvency cone. Workshop "The Future of Risk Measurement" Leibniz University Hannover, Deutschland, 11.12. Invited Talk (Details)
2013 Rudloff, Birgit. 2013. A generalized Bellman principle for set-valued functions with applications in finance. ORFE Faculty Seminar, Princeton University, Princeton, United States/USA, 08.05. (Details)
  Rudloff, Birgit. 2013. Dynamic risk measures and price bounds in markets with transaction costs. Seminar at Frankfurt Institute of Advanced Studies & House of Finance, Germany, Frankfurt, Germany, 18.01. (Details)
  Rudloff, Birgit. 2013. Dynamic risk measures in markets with transaction costs. Seventh Bachelier Colloquium, Metabief, France, 13.01.-20.01. (Details)
  Rudloff, Birgit. 2013. Multivariate Risiken: illiquide Märkte und systemisches Risiko. Seminar at Goethe University, Frankfurt, Deutschland, 27.06.2013. (Details)
  Rudloff, Birgit. 2013. Multivariate Risks. Seminar at Technical University Chemnitz, Chemnitz, Germany, 28.10.2013. (Details)
  Rudloff, Birgit. 2013. Multivariate risks: illiquid markets and systemic risk. Seminar at Stevens Institute of Technology, Hoboken, United States/USA, 12.12.2013. (Details)
  Rudloff, Birgit. 2013. Risk measures. guest lecture at RTG Summer School in Financial Mathematics, Princeton University, Princeton, United States/USA, 17.06.-28.06. (Details)
  Rudloff, Birgit. 2013. Risk measures for multivariate risks. Seminar at the Department of Mathematics, University of Trento, Trento, Italy, 04.07. (Details)
  Rudloff, Birgit. 2013. Risk measures for multivariate risks. Seminar at University of Verona, Verona, Italy, 03.07. (Details)
  Rudloff, Birgit. 2013. Superhedging and risk measures under transaction costs. Financial Mathematics Seminar, University of Pittsburgh, Pittsburgh, United States/USA, 26.03. (Details)
  Rudloff, Birgit. 2013. Time consistency of dynamic risk measures in markets with transaction costs. Probability/Mathematical Finance Seminar, Carnegie Mellon University, Pittsburgh, United States/USA, 25.03. (Details)
  Rudloff, Birgit. 2013. Time consistency of risk measures in markets with transaction costs. ICSP 2013 - Internat. Conference on Stochastic Programming, Bergamo, Italy, 08.07.-12.07. (Details)
2012 Rudloff, Birgit. 2012. Märkte mit Transaktionskosten: dynamische Risikomaße und Preisschranken. Seminar at Philipps-University Marburg, Marburg, Germany, 29.11.2012. (Details)
  Rudloff, Birgit. 2012. Multivariate Risks. Seminar at Technical University Dresden, Dresden, Germany, 24.10.2013. (Details)
  Rudloff, Birgit. 2012. Set-valued Dynamic Risk Measures in Markets with Transaction Costs. SIAM Conference on Financial Mathematics and Engineering, Minneapolis, United States/USA, July 2012. (Details)
  Rudloff, Birgit. 2012. Superhedging and risk measures under transaction costs. Sixth Bachelier Colloquium, Metabief, France, 15-22.01.2012. Invited Talk (Details)
  Rudloff, Birgit. 2012. Superhedging and risk measures under transaction costs. Research presentation at Bloomberg, New York City, Vereinigte Staaten/USA, 18.10.2012. (Details)
  Rudloff, Birgit. 2012. Superhedging in markets with transaction costs. Joint Mathematics Meeting/AMS Meeting, Boston, United States/USA, 04.01.2012. Invited Talk (Details)
  Rudloff, Birgit. 2012. Superhedging under transaction costs. Conference Set Optimization meets Finance, Lutherstadt Wittenberg, Germany, 08.2012. (Details)
  Rudloff, Birgit. 2012. Time Consistency and Calculation of Risk Measures in Markets with Transaction Costs. Probability, Control and Finance: A Conference in Honor of the 60th Birthday of Ioannis Karatzas, Columbia University, NYC, United States/USA, 05.06.2012. Invited Talk (Details)
2011 Rudloff, Birgit. 2011. An Algorithm for Calculating the Set of Superhedging Portfolios and Strategies in Markets with Transaction Costs. 7th Princeton-Cambridge Conference, Princeton, Vereinigte Staaten/USA, July 2011. (Details)
  Rudloff, Birgit. 2011. An Algorithm to Calculate Dynamic Coherent Risk Measures in Markets with Transaction Costs. 3rd Humboldt-Princeton Conference, Berlin, Deutschland, October 2011. Invited Talk (Details)
  Rudloff, Birgit. 2011. Calculation of Risk measures in markets with transaction costs. 35th SIAM Southeastern Atlantic Section Conference, University of North Carolina at Charlotte, United States/USA, March 2011. Invited Talk (Details)
  Rudloff, Birgit. 2011. Calculation of superhedging prices and risk measures in markets with transaction costs. Research Seminar at Humboldt University, Berlin, Deutschland, July 2011. (Details)
  Rudloff, Birgit. 2011. Superhedging and portfolio optimization in markets with transaction costs. INFORMS, Charlotte, United States/USA, 15.11.2011. Invited Talk (Details)
  Rudloff, Birgit. 2011. Superhedging in markets with transaction costs. Mathematical Finance and PDE’s Conference, Rutgers University, New Brunswick, United States/USA, 04.11.2011. (Details)
2010 Rudloff, Birgit. 2010. Hedging and Risk Measurement under Proportional Transaction Costs. University of Michigan, Financial Mathematics Seminar, Michigan, Vereinigte Staaten/USA, 01.04.2010. (Details)
  Rudloff, Birgit. 2010. Hedging and Risk Measurement under Proportional Transaction Costs. Fields Institute: Thematic Program on Quantitative Finance, Workshop on Computational Methods in Finance, Toronto, Kanada, 22.03.2010. Invited Talk (Details)
  Rudloff, Birgit. 2010. Risikomaße und Hedging. Mathematical Finance Seminar, Technical University Munich, Munich, Germany, 09.02.2010. (Details)
  Rudloff, Birgit. 2010. Risk measures for multivariate random variables in markets with transaction costs. Analysis, Stochastics, and Applications Conference, Vienna, Österreich, 15.07.2010. (Details)
  Rudloff, Birgit. 2010. Risk measures for multivariate variables in markets with random solvency cones. AMS Spring Eastern Sectional Meeting, Newark, United States/USA, 22.05.2010. (Details)
  Rudloff, Birgit. 2010. Risk measures in a multiasset model with transaction costs. Boston University, Statistics and Probability Seminar, Boston, United States/USA, 19.10.2010. (Details)
  Rudloff, Birgit. 2010. Risk measures in a multiasset model with transaction costs. INFORMS, Austin, Texas, Vereinigte Staaten/USA, 07.11.2010. Invited Talk (Details)
  Rudloff, Birgit. 2010. Risk measures in a multiasset model with transaction costs. 6th Oxford-Princeton Workshop, Oxford, United Kingdom, 08.10.2010. Invited Talk (Details)
2009 Rudloff, Birgit. 2009. Dualitätsmethoden in der Finanzmathematik. Mathematical Finance Seminar, University of Würzburg, Würzburg, Germany, 19.03.2009. (Details)
  Rudloff, Birgit. 2009. Hedging under Proportional Transaction Costs. VIII Brazilian Workshop on Continuous Optimization, Rio de Janeiro, Brazil, July 2009. (Details)
  Rudloff, Birgit. 2009. Hedging under Proportional Transaction Costs. 2nd Princeton-Humboldt Conference, Princeton, Vereinigte Staaten/USA, 31.10.2009. (Details)
  Rudloff, Birgit. 2009. Hedging under Proportional Transaction Costs. SPA Berlin 2009: 33rd Conference on Stochastic Processes and Their Applications, Berlin, Deutschland, July 2009. (Details)
  Rudloff, Birgit. 2009. Optimal Investment Strategies Under Bounded Risk. University of Toronto, Seminar of Actuarial Science and Mathematical Finance, Toronto, Canada, 17.04.2009. (Details)
  Rudloff, Birgit. 2009. Portfolio Optimization Under Bounded Risk. IMPA, Mathematical Economics Seminar, Rio de Janeiro, Brasilien, 21.06.2010. (Details)
  Rudloff, Birgit. 2009. Utility Maximization under Risk Constraints. oint Mathematics Meeting/AMS Meeting, Washington, D.C. Vereinigte Staaten/USA, 07.01.2009. (Details)
2008 Rudloff, Birgit. 2008. Convex Hedging in Incomplete Markets and its connection to testing hypotheses. Rutgers University, Mathematical Finance and Probability Seminar, New Brunswick, United States/USA, 02.12.2008. (Details)
  Rudloff, Birgit. 2008. Convex Hedging in Incomplete Markets and the Neyman-Pearson Lemma. University of Montreal, Seminar of Actuarial and Financial Mathematics, Montreal, Canada, 18.04.2008. (Details)
  Rudloff, Birgit. 2008. Optimal Investment Strategies Under Bounded Risk. Second SIAM Conference on Financial Mathematics and Engineering, New Brunswick, United States/USA, 22.11.2008. (Details)
  Rudloff, Birgit. 2008. Research presentation. Seminar, Princeton University, Princeton, United States/USA, 05.11.2008. (Details)
  Rudloff, Birgit. 2008. Utility Maximization under Bounded Risk. 4th Cambridge - Princeton Conference, Cambridge, United Kingdom, 19.08.2008. Invited Talk (Details)
2007 Rudloff, Birgit. 2007. A Generalized Neyman-Pearson Lemma and its Connection with Hedging in Incomplete Markets. Columbia University, Probability Seminar, New York City, United States/USA, 14.12.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Princeton University, Stochastic Analysis Seminar, Princeton, United States/USA, 21.02.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Cornell University, Financial Engineering Seminar, Cornell, United States/USA, 04.05.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Oxford - Princeton Workshop on Financial Mathematics, Oxford, United Kingdom, 18.05.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Boston University, Stochastics and Finance Seminar, Boston, United States/USA, 05.07.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. AMaMeF Advanced Mathematical Methods for Finance Conference, Vienna, Österreich, 19.09.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. 1st Humboldt - Princeton Conference, Berlin, Deutschland, 28.10.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. University of Texas at Austin, Mathematical Finance Seminar, Austin, United States/USA, 27.04.2007. (Details)
2006 Rudloff, Birgit. 2006. Convex Hedging in Incomplete Markets and Generalizations. ICAM2006 International Congress on the Applications of Mathematics, Santiago de Chile, Chile, 16.03.2006. (Details)
  Rudloff, Birgit. 2006. Convex Hedging in Incomplete Markets and Generalizations. IMPA, Mathematical Economics Seminar, Rio de Janeiro, Brasilien, 11.01.2006. (Details)
  Rudloff, Birgit. 2006. Convex Hedging in Incomplete Markets and Generalizations. Princeton University, ORFE Colloquia, Princeton, United States/USA, 12.04.2006. (Details)
2005 Rudloff, Birgit. 2005. Coherent Hedging in incomplete markets. IMPA, Finance Seminar, Rio de Janeiro, Brazil, 11.03.2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging and Generalizations. Martin-Luther-University Halle-Wittenberg, Research Seminar, Halle, Deutschland, 10.11.2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging in incomplete markets. Second Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, Brazil, 02.09.2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging in incomplete markets. ETH Zurich, Research Colloquium, Zurich, Switzerland, November 2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging in Incomplete Markets and Generalizations. University of São Paulo, Financial Mathematics Seminar, São Paulo, Brazil, 09.09.2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging in Incomplete Markets and Generalizations. Vienna University of Technology, Financial and Actuarial Mathematics Seminar, Vienna, Austria, 15.11.2005. (Details)
  Rudloff, Birgit. 2005. Kohärentes und Konvexes Hedging. MLU Halle-Wittenberg, Research Seminar, Halle, Germany, 02.06.2005. (Details)
2004 Rudloff, Birgit. 2004. Hedgefehlerminimierung mittels kohärenter Risikomaße und Konvexer Analysis. MLU Halle-Wittenberg, Research Seminar, Halle, Germany, 15.04.2004. (Details)
  Rudloff, Birgit. 2004. Kohärentes Hedging in unvollständig Finanzmärkten. MLU Halle-Wittenberg, Research Seminar, Halle, Germany, 11.11.2004. (Details)
  Rudloff, Birgit. 2004. Kohärentes Hedging in unvollständig Finanzmärkten. Workshop on Stochastic Analysis, Klingenthal, Germany, 27-29.09.2004. (Details)
  Rudloff, Birgit. 2004. Kohärentes Hedging in unvollständig Finanzmärkten. German Mathematical Society (DMV) Conference, Heidelberg, Germany, 14.09.2004. (Details)

Working/discussion paper, preprint

2021 Feinstein, Zachary, Rudloff, Birgit. 2021. Characterizing and Computing the Set of Nash Equilibria via Vector Optimization. (Details)

Habilitation

2016 Rudloff, Birgit. 2016. Multivariate Risks. Habilitationsschrift, Vienna University of Economics and Business. (Details)

Dissertation

2006 Rudloff, Birgit. 2006. Hedging in Incomplete Markets and Testing Compound Hypotheses via Convex Duality. Dissertation, Martin-Luther-University Halle-Wittenberg. (Details)

Diploma thesis

2002 Rudloff, Birgit. 2002. Valuation of Default Correlations and Application to Pricing synthetic CDO's. Diplomarbeit, Martin-Luther-University Halle-Wittenberg. (Details)

Projects

2020
Vienna Graduate School on Computational Optimization (2020-2024) (Details)
2019
Dynamic measures of systemic risk (2019-2023) (Details)