Univ.-Prof. Dr. Birgit Rudloff

Institute for Statistics and Mathematics
Vienna University of Economics and Business
Building D4, Entrance A, 4th Floor
Welthandelsplatz 1
1020 Vienna, Austria

email: birgit.rudloff@wu.ac.at
phone: +43 (0)1 31336-4731
web: personal homepage

Professor, Deputy Institute Chair of the Institute for Statistics and Mathematics

Research areas in the program

  • Optimization under Uncertainty and Risk
  • Dynamic Optimization
  • Multicriteria Optimization

Research Interests

  • Multivariate dynamic programming
  • A set-valued Bellman's principle
  • Time (in-)consistency
  • Vector optimization
  • Set optimization
  • Algorithms to solve vector optimization problems
  • Applications to Finance and Economics (Multivariate risks, (dynamic) set-valued risk measures, systemic risk measures, Nash games)

Know-how and infrastructure of the research group

The group led by Birgit Rudloff consists currently of 3 PostDoc and 2 PhD students. The group’s work involves research in optimization as well as in Mathematical Finance. Some research in Mathematical Finance triggered new research directions in optimization. So the interaction of these two topics proved to be very successful and creates a very interactive and stimulating research environment.

The group’s work involves research on set-valued risk measures that are used in markets with transaction costs as well as when measuring the systemic risk of a banking network, which became of interest after the financial crisis of 2008. Prof. Rudloff works in particular on dynamic set-valued risk measures and time consistency of the set-valued functions. In this context, a set-valued Bellman principle was developed, that allows to compute in the spirit of dynamic programming the values of the set-valued function backwards in time.

Recently, Prof. Rudloff research involved to apply this set-valued Bellman principle to develop a dynamic programming principle for vector optimization problems. For example, the portfolio optimization problem with the two objectives mean and risk was shown to satisfy this set-valued Bellman principle and can thus be solved by a backward recursion. This is in sharp contrast to the classical approach, where the multi-objective problem is scalarized and where it is well known that the scalarized problem is time inconsistent (with respect to the scalar Bellman principle). Also the development of a dynamic programming principle for the set of Nash equilibria of dynamic games is related to the set-valued Bellman principle.

Birgit Rudloff wrote several articles on algorithms to solve linear or convex vector optimization problems. She co-edited a book on Set Optimization with Applications to Finance (2015, Springer). Birgit Rudloff published several articles in Financial Mathematics and Optimization in renowned journals including Operations Research, Mathematical Programming, Finance and Stochastics, Bernoulli, and SIAM Journal on Financial Mathematics.

Collaborations within the VGSCO

With Dan Alistarh, Immanuel Bomze, and Arnold Neumaier on Optimization under Uncertainty and Risk, with Monika Henzinger on Dynamic Optimization, with Radu Boţ on Multicriteria Optimization.

Scientific CV


* Vienna University of Economics and Business (2015 - present)

              Full Professor, since January 2017

              Associate Professor (Febr.-Dec. 2016)

              Assistant Professor (July 2015-Jan. 2016)

* Princeton University, Department of  Operations Research and Financial Engineering, Assistant Professor (2006-2015)

* Vienna University of Technology, Financial and Actuarial Mathematics, PostDoc (March-Aug. 2006)

* IMPA (Instituto Nacional de Matematica Pura e Aplicada), Rio de Janeiro, Brazil, visiting research position (Feb. 2005-Jan. 2006)


01/2016: Habilitation in Financial Mathematics, Vienna University of Economics and Business

07/2006: Ph.D. in Financial Mathematics, Martin-Luther-University Halle-Wittenberg, Germany

03/2002: M.S. in Financial Mathematics, Martin-Luther-University Halle-Wittenberg, Germany


click here for list of publications