papers
Publications (6)
q-fin.RM2010
Set-valued risk measures for conical market models
Andreas H. Hamel, Frank Heyde, Birgit Rudloff
math.OC2013
Benson type algorithms for linear vector optimization and applications
Andreas H. Hamel, Andreas Löhne, Birgit Rudloff
math.PR2010
Testing composite hypotheses via convex duality
Birgit Rudloff, Ioannis Karatzas
q-fin.RM2013
Set-valued average value at risk and its computation
Andreas H. Hamel, Birgit Rudloff, Mihaela Yankova
q-fin.PR2013
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Andreas Löhne, Birgit Rudloff
q-fin.RM2012
Time consistency of dynamic risk measures in markets with transaction costs
Zachary Feinstein, Birgit Rudloff