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  • Computing Zonoid Trimmed Regions in Dimension d > 2 (with K. Mosler and T. Lange)
    Computational Statistics and Data Analysis, 53, 2009, pp. 2500 - 2510. [Full paper as link]
  • An Exact Algorithm for Weighted-Mean Trimmed Regions in Any Dimension (with Karl Mosler)
    Journal of Statistical Software, 47(13), 2012. [Full Paper as PDF]
  • Stochastic Linear Programming with a Distortion Risk Constraint (with Karl Mosler)
    OR Spectrum, 36(4), 2014, pp. 949 - 969. [Full Paper as PDF]
  • A General Solution for Robust Linear Programs with Distortion Risk Constraints (with Karl Mosler)
    Working paper, University of Cologne, 2014.
  • Geometrical Framework for Robust Portfolio Optimization
    Discussion Papers in Econometrics and Statistics, Institute of Econometrics and Statistics, University of Cologne, 01/14 [Full Paper as PDF]

Working projects

  • Robust Optimization with Distortion Risk Constraints (with Karl Mosler).
  • Multivariate Vector-Valued Best-Decision Risk Measures (with Karl Mosler).
  • Non-Parametric Geometrical Framework for Calculating the Optimal Portfolio.
  • Solving Stochastic Logistic Problems by Robust Linear Programming (with Corinna Maas and Karl Mosler).


Geometrical Methods in Multivariate Risk Management: Algorithms and Applications, 2014.