Ralf Werner

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Revisiting the fitting of the Nelson–Siegel and Svensson models Optimization	2024-10-14	Paper
On rates of convergence for sample average approximations in the almost sure sense and in mean Mathematical Programming. Series A. Series B	2022-03-22	Paper
Multiobjective optimization under uncertainty: a multiobjective robust (relative) regret approach European Journal of Operational Research	2021-11-05	Paper
On the effectiveness of primal and dual heuristics for the transportation problem IMA Journal of Management Mathematics	2019-09-25	Paper
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios Scandinavian Actuarial Journal	2019-08-09	Paper
Tight semi-model-free bounds on (bilateral) CVA Innovations in Derivatives Markets	2018-10-22	Paper
Membership testing for Bernoulli and tail-dependence matrices Journal of Multivariate Analysis	2018-10-16	Paper
Mathematical foundation of the replicating portfolio approach Scandinavian Actuarial Journal	2018-08-31	Paper
Replicating portfolios: \(\mathcal L^1\) versus \(\mathcal L^2\) optimization Operations Research Proceedings	2017-12-01	Paper
Mathematical analysis of different approaches for replicating portfolios European Actuarial Journal	2016-01-22	Paper
Reassessing recovery rates – floating recoveries Operations Research Proceedings	2015-03-03	Paper
Robust multiobjective optimization \& applications in portfolio optimization European Journal of Operational Research	2015-02-03	Paper
On saddle points in nonconvex semi-infinite programming Journal of Global Optimization	2013-01-03	Paper
A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing Optimization	2012-01-18	Paper
Comparison and robustification of Bayes and Black-Litterman models Mathematical Methods of Operations Research	2010-09-08	Paper
Robustness properties of mean-variance portfolios Optimization	2009-08-13	Paper
Cascading: An adjusted exchange method for robust conic programming CEJOR. Central European Journal of Operations Research	2008-09-03	Paper
scientific article; zbMATH DE number 1664849 (Why is no real title available?)	2002-03-12	Paper

Research outcomes over time

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