Ralf Werner

Available identifiers

zbMath Open werner.ralfWikidataQ102291050 ScholiaQ102291050MaRDI QIDQ906587

List of research outcomes

Publication	Date of Publication	Type
Revisiting the fitting of the Nelson–Siegel and Svensson models	2024-10-14	Paper
On rates of convergence for sample average approximations in the almost sure sense and in mean	2022-03-22	Paper
Multiobjective optimization under uncertainty: a multiobjective robust (relative) regret approach	2021-11-05	Paper
On the effectiveness of primal and dual heuristics for the transportation problem	2019-09-25	Paper
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios	2019-08-09	Paper
Tight Semi-model-free Bounds on (Bilateral) CVA	2018-10-22	Paper
Membership testing for Bernoulli and tail-dependence matrices	2018-10-16	Paper
Mathematical foundation of the replicating portfolio approach	2018-08-31	Paper
Replicating Portfolios: $$\mathscr {L}^1$$ Versus $$\mathscr {L}^2$$ Optimization	2017-12-01	Paper
Mathematical analysis of different approaches for replicating portfolios	2016-01-22	Paper
Reassessing recovery rates – floating recoveries	2015-03-03	Paper
Robust multiobjective optimization \& applications in portfolio optimization	2015-02-03	Paper
On saddle points in nonconvex semi-infinite programming	2013-01-03	Paper
A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing	2012-01-18	Paper
Comparison and robustification of Bayes and Black-Litterman models	2010-09-08	Paper
Robustness properties of mean-variance portfolios	2009-08-13	Paper
Cascading: An adjusted exchange method for robust conic programming	2008-09-03	Paper
https://portal.mardi4nfdi.de/entity/Q2751486	2002-03-12	Paper

Research outcomes over time

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