142 citations · 658 across the 32 of their papers we have counts for
4 papers · 1 filter
A Supermartingale Relation for Multivariate Risk Measures
Zachary Feinstein, Birgit Rudloff
The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which…
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
Zachary Feinstein, Birgit Rudloff
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for assets with transaction costs or illiquidit…
A Parametric Simplex Algorithm for Linear Vector Optimization Problems
Birgit Rudloff, Firdevs Ulus, Robert Vanderbei
In this paper, a parametric simplex algorithm for solving linear vector optimization problems (LVOPs) is presented. This algorithm can be seen as a variant of the multi-objective s…
Measures of Systemic Risk
Zachary Feinstein, Birgit Rudloff, Stefan Weber
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires…