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Birgit Rudloff is professor for 'Mathematics for Economics and Business‘ at the Vienna University of Economics and Business. Before coming to Vienna, she was an Assistant Professor at Princeton University, at the Department for Operations Research and Financial Engineering and at the Bendheim Center for Finance. She holds a PhD in Financial Mathematics from Martin-Luther University of Halle-Wittenberg.
Her research is centered around multivariate risks. She works on measuring and regulating systemic risk in banking networks, dynamic risk measures in markets with transaction costs and on multivariate dynamic optimization problems.
In her recent research she developed a dynamic programming principle (Bellman principle) for multivariate dynamic optimization problems, that can be used e.g. to solve the mean-risk portfolio optimization problem.
Birgit Rudloff published several articles in Financial Mathematics and Optimization in renowned journals like Mathematical Programming, Finance and Stochastics, Bernoulli, and SIAM Journal on Financial Mathematics.