PUBLIKATIONEN

Eckstein, Stephan ; Kupper, Michael ; Pohl, Mathias. / Robust risk aggregation with neural networks. in: Mathematical Finance: an international journal of mathematics, statistics and financial economics. 2020 ; Band TBA, Nr. TBA.

Pflug, Georg ; Pichler, Alois ; Kirui, Kipngeno Benard . / ScenTrees.jl: A Julia Package for Generating Scenario Trees and Scenario Lattices for Multistage Stochastic Programming. in: Journal of Open Source Software. 2020 ; Band 5, Nr. 46.

Geiersbach, Caroline ; Loayza-Romero, Estefania ; Welker, Kathrin. / Stochastic approximation for optimization in shape spaces. in: arXiv. 2020.

Geiersbach, Caroline ; Scarinci, Teresa. / Stochastic Proximal Gradient Methods for Nonconvex Problems in Hilbert Spaces. in: arXiv. 2020.

Glanzer, Martin ; Pflug, Georg. / Multiscale stochastic optimization: modeling aspects and scenario generation. in: Computational Optimization and Applications: an international journal. 2020 ; Nr. 75. S. 1-34.

Pflug, Georg ; Kaniovski, Yuriy ; Kaniovskyi, Yuriy. / Analysis of credit-rating migrations with genetic algorithms. in: International Journal of Bio-Inspired Computation. 2020.

Reschenhofer, Erhard ; Mangat, Manveer ; Zwatz, Christian ; Guzmics, Sandor. / Evaluation of current research on stock return predictability. in: Journal of Forecasting. 2020 ; Band 39 , Nr. 2. S. 334-351.

Pohl, Mathias ; Ristig, Alexander ; Schachermayer, Walter ; Tangpi Ndounkeu, Ludovic. / Theoretical and empirical analysis of trading activity. in: Mathematical Programming. 2020 ; Band 181. S. 405–434.

van Ackooij, Wim ; Escobar Luna-Barrera, Debora Daniela ; Glanzer, Martin ; Pflug, Georg. / Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. in: Computational Management Science. 2019.

Hochrainer, Stefan ; Pflug, Georg ; Colon, Célian ; Poledna, Sebastian ; Boza, Gergely ; Linnerooth-Bayer, Joanne ; Brännström, Ake. / Measuring, modeling and managing systemic risk: The missing aspect of human agency. in: Journal of Risk Research. 2019.

Cooper, Matthew W. ; Brown, Molly E. ; Hochrainer-Stigler, Stefan ; Pflug, Georg ; McCallum, Ian ; Fritz, Steffen ; Silva, Julie ; Zvoleff, Alexander. / Mapping the effects of drought on child stunting. in: Proceedings of the National Academy of Sciences of the United States of America (PNAS). 2019 ; Band 116, Nr. 35. S. 17219-17224.

Preininger, J. ; Scarinci, T. ; Veliov, V. M. / Metric Regularity Properties in Bang-Bang Type Linear-Quadratic Optimal Control Problems. in: Set-Valued and Variational Analysis. 2019 ; Band 27, Nr. 2. S. 381-404.

Geiersbach, Caroline ; Pflug, Georg. / Projected Stochastic Gradients for Convex Constrained Problems in Hilbert Spaces. in: SIAM Journal on Optimization. 2019.

Glanzer, Martin ; Pflug, Georg ; Pichler, Alois. / Incorporating statistical model error into the calculation of acceptability prices of contingent claims. in: Mathematical Programming. 2019 ; Band 174, Nr. 1. S. 499-524.

Geiersbach, Caroline ; Wollner, Winnifried. / A Stochastic Gradient Method with Mesh Refinement for PDE Constrained Optimization under Uncertainty. in: arXiv. 2019.

Pflug, Georg ; Maggioni, Francesca. / Guaranteed Bounds for General Non-Discrete Multistage Risk-Averse Stochastic Optimization Programs. in: SIAM Journal on Optimization. 2019 ; Band 29, Nr. 1. S. 454-483.

Guzmics, Sandor ; Pflug, Georg. / Modelling cascading effects for systemic risk: Properties of the Freund copula. in: Dependence Modeling. 2019 ; Band 7, Nr. 1. S. 24-44.

Birghila, Corina ; Pflug, Georg. / Optimal XL-insurance under Wasserstein-type ambiguity. in: Insurance: Mathematics and Economics. 2019 ; Band 88. S. 30-43.

Pflug, Georg ; Maier, Sebastian ; Polak, John W. / Valuing Portfolios of Interdependent Real Options under Exogenous and Endogenous Uncertainties. in: European Journal of Operational Research. 2019.

Hochrainer-Stigler, Stefan ; Pflug, Georg ; Dieckmann, Ulf ; Rovenskaya, Elena ; Thurner, Stefan ; Poledna, Sebastian ; Boza, Gergely ; Linnerooth-Bayer, Joanne ; Brännström, Ake. / Integrating Systemic Risk and Risk Analysis Using Copulas. in: International Journal of Disaster Risk Science. 2018 ; Band 9, Nr. 4. S. 561-567.

Pflug, Georg ; Pohl, Mathias. / A review on ambiguity in stochastic portfolio optimization. in: Set-Valued and Variational Analysis. 2018 ; Band 26, Nr. 4. S. 733-757.

Pohl, Mathias ; Ristig, Alexander ; Schachermayer, Walter ; Tangpi, Ludovic. / The amazing power of dimensional analysis : Quantifying market impact. in: Market Microstructure and Liquidity. 2018 ; Band 3, Nr. 3&4.

Scarinci, T. ; Veliov, V. M. / Higher-order numerical scheme for linear quadratic problems with bang–bang controls. in: Computational Optimization and Applications. 2018 ; Band 69, Nr. 2. S. 403–422.