Operations Research & Financial Engineering
Princeton University

Picture

Dr. Birgit Rudloff

Assistant Professor,
Department of Operations Research and Financial Engineering,
Bendheim Center for Finance,
Princeton University.

RTG: Stochastic Analysis & Applications


Conference: SET OPTIMIZATION meets FINANCE
at the Free University of Bozen in Bruneck (Italy), September 8-12, 2014.


Work:
Sherrerd Hall, Room 203
Princeton University
Princeton, NJ 08544, USA.
tel. + 1(609)258-4558
fax + 1(609)258-3791
E-mail:
Email

Courses


Research Interests


PhD students


Publications

Editorial work

  1. Set Optimization and Applications in Finance - The State of the Art.
    (co-edited with A. Hamel, F. Heyde, A. Löhne, C. Schrage).
    Springer. Forthcoming in 2014.

Submitted papers

  1. C. Ararat, A. Hamel, B. Rudloff: Set-valued shortfall and divergence risk measures. [preprint] at arXiv.
    Submitted for publication.

Peer-reviewed publications

  1. Z. Feinstein, B. Rudloff (2014): Multi-portfolio time consistency for set-valued convex and coherent risk measures. [pdf] at arXiv.
    Finance and Stochastics. Forthcoming. DOI: 10.1007/s00780-014-0247-6
  2. A. Löhne, B. Rudloff (2014): On the dual of the solvency cone. [preprint] at arXiv.
    Discrete Applied Mathematics. Forthcoming.
  3. C. Ararat, B. Rudloff (2014): A characterization theorem for Aumann integrals. [preprint] at arXiv.
    Set-Valued and Variational Analysis. Forthcoming. DOI: 10.1007/s11228-014-0309-0
  4. A. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage (2014): Set optimization - a rather short introduction. (76 pages) [preprint] at arXiv.
    Set Optimization and Applications in Finance, Springer PROMS series, Forthcoming.
  5. A. Löhne, B. Rudloff (2014): An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. [pdf] at arXiv.
    International Journal of Theoretical and Applied Finance 17 (2) 1450012 (33 pages).
    A MatLab implementation of Benson's algorithm (by A. Löhne) used to solve the linear vector optimization problems arising in the above paper can be downloaded here [Benson]
  6. A. Löhne, B. Rudloff, F. Ulus (2014): Primal and dual approximation algorithms for convex vector optimization problems. [pdf] at arXiv.
    Journal of Global Optimization 60 (4) 713-736.
  7. Z. Feinstein, B. Rudloff (2014): A comparison of techniques for dynamic risk measures with transaction costs. [pdf] at arXiv.
    Set Optimization and Applications in Finance, Springer PROMS series, Forthcoming.
  8. B. Rudloff, A. Street, D. Valladao (2014): Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences. [pdf] at optimization online.
    European Journal of Operational Research 234 (3), 743-750.
  9. A. Hamel, A. Löhne, B. Rudloff (2014): Benson type algorithms for linear vector optimization and applications. [pdf] at arXiv.
    Journal of Global Optimization 59 (4), 811-836.
  10. A. Hamel, B. Rudloff, M. Yankova (2013): Set-valued average value at risk and its computation. [pdf] at arXiv.
    Mathematics and Financial Economics 7 (2), 229-246.
  11. Z. Feinstein, B. Rudloff (2013): Time consistency of dynamic risk measures in markets with transaction costs. [pdf] at arXiv.
    Quantitative Finance 13 (9), 1473-1489.
  12. A. Hamel, F. Heyde, B. Rudloff (2011): Set-valued risk measures for conical market models. [pdf] at arXiv.
    Mathematics and Financial Economics 5 (1), 1 - 28.
  13. B. Rudloff, I. Karatzas (2010): Testing Composite Hypotheses via Convex Duality. [pdf]
    Bernoulli 16 (4), 1224 - 1239.
  14. B. Rudloff (2009): Coherent Hedging in Incomplete Markets. [pdf]
    Quantitative Finance 9 (2), 197 - 206.
  15. B. Rudloff, J. Sass, R. Wunderlich (2008): Entropic Risk Constraints for Utility Maximization. [pdf]
    In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 149 - 180. ISBN 978-3-8322-7500-6.
  16. A. Hamel, B. Rudloff (2008): Continuity and Finite-Valuedness of Set-Valued Risk Measures. [pdf]
    In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 49 - 64. ISBN 978-3-8322-7500-6.
  17. B. Rudloff (2007): Convex Hedging in Incomplete Markets. [pdf]
    Applied Mathematical Finance 14 (5), 437 - 452.
  18. B. Rudloff (2005): A Generalized Neyman-Pearson Lemma for Hedge Problems in Incomplete Markets.
    Proceedings of the Workshop Stochastische Analysis, 241 - 250. ISSN 1612-5665.
  19. B. Rudloff (2005): Hedging with Convex Risk Measures.
    In: N. Kolev, P. Morettin (eds.): Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and Finance, ISBN 85-88697-07-6.

Theses


Conferences & Seminar Talks

2014

  • December 2014, Invited talk at Workshop on The Future of Risk Measurement, Leibniz University Hannover, December 11, 2014
  • November 2014, Invited talk at SIAM Conference on Financial Mathematics & Engineering, Chicago, November 13-15, 2014
  • November 2014, Seminar at Collegio Carlo Alberto, Torino, Italy, November 6, 2014
  • October 2014, 5th CEQURA Conference on Advances in Financial & Insurance Risk Management, Munich, October 1-2, 2014
  • September 2014, Invited talk at Princeton-Cambridge Conference, Cambridge, September 26-27, 2014
  • September 2014, Invited talk at mini workshop Recent advances in mathematical finance at University of Padova, Italy, September 22, 2014
  • September 2014, Invited talk 'Systemic Risk Measurement' at conference SET OPTIMIZATION meets FINANCE, Bruneck-Brunico, Italy, September 12, 2014
  • September 2014, Tutorial 'Set-Valued Models in Finance' at conference SET OPTIMIZATION meets FINANCE, Bruneck-Brunico, Italy, September 8, 2014

    2013

  • July 2013, Invited talk at ICSP 2013 - International Conference on Stochastic Programming, Bergamo, Italy.
  • June 2013, lecture at RTG Summer School in Financial Mathematics, Princeton University.
  • May 2013, Faculty Seminar, Princeton University, "A generalized Bellman principle for set-valued functions with applications in finance".
  • March 2013, Financial Mathematics Seminar, University of Pittsburgh, "Superhedging and risk measure under transaction costs".
  • March 2013, Probability/Mathematical Finance Seminar, Carnegie Mellon University, "Time consistency of dynamic risk measures in markets with transaction costs".
  • January 2013, FIAS, Frankfurt, "Dynamic risk measures and price bounds in markets with transaction costs".
  • January 2013, Invited talk at Seventh Bachelier Colloquium, Metabief, France, January 13-20, 2013.

    2012

  • October 2012, Bloomberg, NYC.
  • August 2012, Invited talk at SET OPTIMIZATION meets FINANCE, Lutherstadt Wittenberg, Germany, August 17-19, 2012
  • July 2012, Invited talk at SIAM Conference on Financial Mathematics and Engineering, Minneapolis, July 9-11, 2012.
  • June 2012, Invited talk at Probability, Control and Finance: A Conference in Honor of the 60th Birthday of Ioannis Karatzas, Columbia University, New York, June 4-8, 2012.
  • January 2012, Invited keynote talk at Sixth Bachelier Colloquium, Metabief, France, January 15-22, 2012.
  • January 2012, Invited talk at Joint Mathematics Meeting/AMS Meeting, Boston, January 4, 2012.

    2011

  • November 2011, Invited talk at INFORMS, November 15, 2011.
  • November 2011, Mathematical finance and pde's, Rutgers, New Brunswick, November 4, 2011.
  • October 2011, Invited talk at Humboldt - Princeton Conference: Risk Patterns in Economics, Statistics, Finance and Medicine, Berlin.
  • September 2011, Invited talk at Princeton-Cambridge Conference, Princeton.
  • July 2011, Research Seminar, Humboldt University, Berlin, July 12, 2011.
  • March 2011, Invited talk at 35th SIAM Southeastern Atlantic Section Conference, March 26-27, 2011.

    2010

  • November 2010, Invited talk at INFORMS, Austin, November 7-10, 2010, "Risk measures in a multi-asset model with transaction costs".
  • October 2010, Statistics and Probability Seminar, Boston University, October 19, 2010.
  • October 2010, Invited talk at Oxford-Princeton Workshop, Oxford, October 8-9, 2010.
  • July 2010, Analysis, Stochastics, and Applications, Wien, July 12-16, 2010, "Risk measures for multivariate random variables in markets with transaction costs".
  • May 2010, Invited talk at AMS Eastern Sectional Meeting, Newark, May 22-23, 2010, "Risk measures for portfolio vectors in markets with random solvency cones".
  • April 2010, Financial Mathematics Seminar, University of Michigan, "Hedging and Risk Measurement under Proportional Transaction Costs".
  • March 2010, Invited talk at Workshop on Computational Methods in Finance, Fields Institute, Toronto, March 22-24, 2010, "Hedging and Risk Measurement under Proportional Transaction Costs".
  • February 2010, Mathematical Finance Seminar, Technical University Munich.

    2009

  • October 2009, Invited talk at Princeton-Humboldt Workshop: Perceiving and Measuring Financial Risk: Credit, Energy and Illiquidity, Princeton, October 30-31, 2009, "Hedging under Proportional Transaction Costs".
  • July 2009, SPA Berlin 2009: 33rd Conference on Stochastic Processes and Their Applications, Berlin, July 27-31, 2009, "Hedging under Proportional Transaction Costs".
  • July 2009, Mathematical Finance Seminar, IMPA , Rio de Janeiro, "Portfolio Optimization Under Bounded Risk".
  • July 2009, Invited talk at VIII Brazilian Workshop on Continuous Optimization, Mambucaba, Rio de Janeiro, July 13-17, 2009, "Hedging under Proportional Transaction Costs".
  • April 2009, Seminar of Actuarial Science and Mathematical Finance, University of Toronto, "Optimal Investment Strategies Under Bounded Risk".
  • March 2009, Mathematical Finance Seminar, University of Wuerzburg, "Duality Methods in Financial Mathematics".
  • January 2009, Joint Mathematics Meeting, co-organizer of AMS Special Session on Financial Mathematics, Washington, DC, and talk "Utility Maximization under Risk Constraints".

    Short Vita