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Time consistency of the mean-risk problem

Kováčová, Gabriela; Rudloff, Birgit - In: Operations research 69 (2021) 4, pp. 1100-1117

Persistent link: https://www.econbiz.de/10012625134

Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization

Rudloff, Birgit; Ulus, Firdevs - In: Mathematics and financial economics 15 (2021) 2, pp. 397-430

Persistent link: https://www.econbiz.de/10012500037

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

Elicitability and identifiability of set-valued measures of systemic risk

Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit - In: Finance and stochastics 25 (2021) 1, pp. 133-165

Persistent link: https://www.econbiz.de/10012433518

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

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

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

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

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

Interbank asset-liability networks with fire sale management

Feinstein, Zachary; Halaj, Grzegorz - 2020

Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...

Persistent link: https://www.econbiz.de/10012619591

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