Ralf Werner
Ralf Werner
Professor für Wirtschaftsmathematik, Universität Augsburg
Verified email at math.uni-augsburg.de
Title
Cited by
Cited by
Year
The normal inverse Gaussian distribution for synthetic CDO pricing
A Kalemanova, B Schmid, R Werner
The journal of derivatives 14 (3), 80-94, 2007
2492007
Robust multiobjective optimization & applications in portfolio optimization
J Fliege, R Werner
European Journal of Operational Research 234 (2), 422-433, 2014
1232014
Material optimization: bridging the gap between conceptual and preliminary design
H Hörnlein, M Kočvara, R Werner
Aerospace Science and Technology 5 (8), 541-554, 2001
542001
Material optimization: bridging the gap between conceptual and preliminary design
HREM Hörnlein, M Kočvara, R Werner
Aerospace Science and Technology 5 (8), 541-554, 2001
542001
A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing
S Daum, R Werner
Optimization 60 (10-11), 1379-1398, 2011
312011
Comparison and robustification of Bayes and Black-Litterman models
K Schöttle, R Werner, R Zagst
Mathematical Methods of Operations Research 71 (3), 453-475, 2010
292010
Free Material Optimization: Mathematical Analysis and Numerical Solution
R Werner
dissertation. de, 2001
28*2001
Towards reliable efficient frontiers
K Schöttle, R Werner
Journal of Asset Management 7 (2), 128-141, 2006
262006
Robustness properties of mean-variance portfolios
K Schöttle, R Werner
Optimization 58 (6), 641-663, 2009
252009
Cascading: an adjusted exchange method for robust conic programming
R Werner
Central European Journal of Operations Research 16 (2), 179-189, 2008
242008
Mathematical analysis of different approaches for replicating portfolios
J Natolski, R Werner
European Actuarial Journal 4 (2), 411-435, 2014
222014
Improving the most general methodology to create a valid correlation matrix
K Schöttle, R Werner
Management Information Systems 9, 701-710, 2004
152004
A short note on the efficient implementation of the normal inverse gaussian distribution
A Kalemanova, R Werner
Risklab and Hypo Real Estate Holding, 2006
122006
Calibration of correlation matrices—SDP or not SDP
R Werner, K Schöttle
Preprint available from www. gloriamundi. org, 2007
112007
Fair Valuation of Cliquet-Style Return Guarantees in a Heterogeneous Life Insurance Portfolio
P Hieber, J Natolski, R Werner
Available at SSRN 2715571, 2016
10*2016
Mathematical Foundation of the Replicating Portfolio Approach
J Natolski, R Werner
Scandinavian Actuarial Journal, 2018
82018
On saddle points in nonconvex semi-infinite programming
F Guerra-Vázquez, JJ Rückmann, R Werner
Journal of Global Optimization 54 (3), 433-447, 2012
82012
Mathematical Analysis of Replication by Cash Flow Matching
J Natolski, R Werner
Risks 5 (1), 13, 2017
62017
Costs and benefits of robust optimization
R Werner
Optimization (Online), 2010
6*2010
Consistency of robust optimization with application to portfolio optimization
R Werner
Optimization (Online), 2010
62010
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