Professoren
Prof. Dr. Karl Frauendorfer

Prof. Dr. Karl Frauendorfer

K. Frauendorfer, J. Güssow, G. Haarbrücker, D. Kuhn, G. Ostermaier: Umsetzung stochastischer Optimierungsmethoden in der Energiewirtschaft. In: VDI-Berichte Nr 1688: IT-Lösungen für die Energiewirtschaft in liberalisierten Märkten, Tagung Schliersee 15./16. Mai 2002 / Hrsg.: VDI-Gesellschaft Energietechnik. - Düsseldorf: VDI Verl., 2002

Karl Frauendorfer, Gido Haarbrücker (2002):Solving Sequences of Refined Multistage Stochastic Linear Programs.Submitted to Annals of Operations Research.

Karl Frauendorfer, Gido Haarbrücker (2002): Numerical Techniques in Applied Multistage Stochastic Programming. In: Stochastic and Global Optimisation (2002), Kluwer Academic Publishers. Dzemyda, G., Saltenis, V., Zilinskas, A. (Eds.). Nonconvex Optimization and its Applications, Vol. 59, Ch. 7

Karl Frauendorfer, Michael Schürle (2002):Management of non-maturing deposits by multistage stochastic programming. To appear in: European Journal of Operational Research

Karl Frauendorfer, Michael Schürle (2002):Refinancing Mortgages in Switzerland. To appear in: S.W. Wallace, W.T. Ziemba (eds.): Applications of Stochastic Programming, MPS-SIAM Series in Optimization

Karl Frauendorfer, Jens Güssow (2002): Stochastic Multistage Programming in the Optimization and Management of a Power System. In: Marti, K. (Editor): Stochastic Optimization Techniques - Numerical Methods and Technical Applications, Springer-Verlag

Karl Frauendorfer, Georg Ostermaier (2001): Mehrstufige stochastische Optimierung in der Energiewirtschaft, In: VDI-Berichte, Vol. 1594, pp. 615-624

Karl Frauendorfer, Michael Schürle (2001): Term Structure Models in Multistage Stochastic Programming: Estimation and Approximation, In: Annals of Operations Research, Vol. 100, pp. 189-209

Karl Frauendorfer, Michael Schürle (2001): Stochastic linear programs with recourse and arbitrary multivariate distributions. In: P. Pardalos and C.A. Floudas (eds.), "Encyclopedia of Optimization, Vol. 5", Kluwer Academic Publishers, pp. 314-319

Karl Frauendorfer, Michael Schürle (2000): Multistage stochastic programming: Barycentric approximation. In: P. Pardalos and C.A. Floudas (eds.), "Encyclopedia of Optimization, Vol. 3", Kluwer Academic Publishers, pp. 576-580

Karl Frauendorfer, Gido Haarbrücker: Sequences of Barycentrically Discretized Multistage Stochastic Linear Programs: Accuracy Evolution within Financial Applications. Submitted to Mathematical Programming.

Karl Frauendorfer, Jens Güssow, Georg Ostermaier: Stochastic Optimization in Dispatching of Complex Power Systems. In: Energiesymposium Ossiach 1999, Forschung im Verbund, Schriftenreihe Band 61, Wien, 2000

Karl Frauendorfer, Gido Haarbrücker (2000):Test Problems in Stochastic Multistage Programming In: Optimization 47:3-4 (2000), 267-285

Karl Frauendorfer, Michael Schürle: Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts.In: S.P. Uryasev (ed.), "Probabilistic Constrained Optimization: Methodology and Applications", Kluwer Academic Publishers, 2000, pp. 67-101

Karl Frauendorfer, Heiko Siede: Portfolio Selection Using Multi-Stage Stochastic Programming, In: Central European Jounal for Operations Research and Economics (2000), 277-290

Karl Frauendorfer, Heinz Schiltknecht, Michael Schürle: Ein anderer Weg zur Haushaltsanierung In: Neue Zürcher Zeitung, Wirtschaftsteil, 1999, Nr. 112, S. 25

Karl Frauendorfer, Olivier Schmid: Strukturanpassung im Finanzbereich, In: THEXIS, Fachzeitschrift für Marketing, Sonderausgabe: Management-Szenarien 2005, Februar 1998

Karl Frauendorfer and Michael Schürle (1998) Barycentric Approximation of Stochastic Interest Rate Processes, In: World Wide Asset and Liability Modeling (W. T. Ziemba, J. M. Mulvey, eds.), 231-262, Cambridge University Press

Bruce Forrest, Karl Frauendorfer, Michael Schürle: A Stochastic Optimization Model for the Investment of Savings Account Deposits, In: P. Kischka, H.-W. Lorenz, U. Derigs, W. Domschke, P. Klein-schmidt, R. Möhring (eds): Operations Research Proceedings 1997, Springer-Verlag, Berlin Heidelberg New York 1998, pp. 382-387

Karl Frauendorfer, Ralf Gaese: Linear Duality, Term Structure, and Valuation. In: P. Kischka, H.-W. Lorenz, U. Derigs, W. Domschke, P. Kleinschmidt, R. Möhring (eds): Operations Research Proceedings 1997, Springer-Verlag, Berlin Heidelberg New York 1998, pp. 13-18

Karl Frauendorfer, Asset & Liability Managment, OR News (1997), no. 1, 23-26.

Karl Frauendorfer and Heiko Siede, Mean-Variance Analysis in a Multiperiod Setting, Working paper, Institute of Operations Research, University of St. Gallen, 1997.

Karl Frauendorfer and Ralf Gaese, Inflecting No-Arbitrage in Terms of Linear Duality, Working Paper, Institute of Operations Research, University of St. Gallen, 1997 (presented at the ISMP97, 16th International Symposium on Mathematical Programming, Lausanne, Switzerland, August 24-29, 1997).

Karl Frauendorfer, Pierre-Yves Moix, and Olivier Schmid, Approximation of Profit-and-Loss Distributions (Part II), Risklab report, Institute of Operations Research, University of St. Gallen, 1997.

Karl Frauendorfer, Pierre-Yves Moix, and Olivier Schmid, Approximation of Profit-and-Loss Distributions (Management Version), Working paper, Institute of Operations Research, University of St. Gallen, 1997.

Karl Frauendorfer, Stochastic Programming Tutorial for Financial Decision Making (The Saddle Property of Optimal Profits), Central European Journal for Operations Research and Economics 4 (1996), 199-221.

Karl Frauendorfer, Christina Marohn: Refinement Issues in Stochastic Multistage Linear Programming. In: Proceedings GAMM/IFIP-Workshop 1996, Lecture Notes in Economics and Mathematical Systems, Springer-Verlag 1996

Karl Frauendorfer, Barycentric Scenario Trees in Convex Multistage Stochastic Programming, Mathematical Programming 75 (1996), 277-293.

Karl Frauendorfer, Stochastic Multistage Programming in Financial Decision Making, Zeitschrift für Angewandte Mathematik und Mechanik 76 (1996), 21-24.

Karl Frauendorfer, Stochastic Programming: Resolving Uncertainty with Barycentric Approximation, Prix Latsis Universitaires 4 (1996), 17-29.
Karl Frauendorfer, Frank Härtel, Michael F. Reiff, and Michael Schürle, SG-Portfolio Test Problems for Stochastic Multistage Linear Programming, Operations Research Proceedings 1995 (P. Kleinschmidt et al., eds.), Springer Verlag, Berlin, Heidelberg, New York, 1996, pp. 102-107.

Karl Frauendorfer and Emil Königsperger, Approximation of Profit-and-Loss Distributions (A Numerical Approach for Evaluating VaR based on Exteremal Measures, Risklab report, Institute for Operations Research, University of St. Gallen, 1995.

Karl Frauendorfer, The Stochastic Programming Extension of the Markowitz Approach, International Journal of Mass-Parallel Computing and Information Systems 5 (1995), 449-460.

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