Ralf Werner

Available identifiers

zbMath Open werner.ralfWikidataQ102291050 ScholiaQ102291050MaRDI QIDQ906587

List of research outcomes

Publication	Date of Publication	Type
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

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
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