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A supermartingale relation for multivariate risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Quantitative finance 18 (2018) 12, pp. 1971-1990
Persistent link: https://www.econbiz.de/10012262932
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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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Scalar multivariate risk measures with a single eligible asset
Feinstein, Zachary; Rudloff, Birgit - In: Mathematics of operations research 47 (2022) 2, pp. 899-922
Persistent link: https://www.econbiz.de/10013365032
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Dual representations for systemic risk measures
Ararat, Çağın; Rudloff, Birgit - In: Mathematics and financial economics 14 (2020) 1, pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
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Set-valued shortfall and divergence risk measures
Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
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Set-valued risk measures for conical market models
Hamel, Andreas; Heyde, Frank; Rudloff, Birgit - In: Mathematics and financial economics 5 (2011) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10009160246
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Time consistency and risk averse dynamic decision models : definition, interpretation and practical consequences
Rudloff, Birgit; Street, Alexandre; Valladão, Davi M. - In: European journal of operational research : EJOR 234 (2014) 3, pp. 743-750
Persistent link: https://www.econbiz.de/10010360424
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An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10010363905
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Set-valued average value at risk and its computation
Hamel, Andreas; Rudloff, Birgit; Yankova, Mihaela - In: Mathematics and financial economics 7 (2013) 2, pp. 229-246
Persistent link: https://www.econbiz.de/10009736855
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Set-valued risk measures as backward stochastic difference inclusions and equations
Ararat, Çağın; Feinstein, Zachary - In: Finance and stochastics 25 (2021) 1, pp. 43-76
Persistent link: https://www.econbiz.de/10012433511