F. Guerra-Vazquez, J-J. Rückmann, R. Werner, 2011. On saddle points in non-convex semi-infinite programming. Accepted for publication, Journal of Global Optimization.
K. Schöttle, R. Werner, R. Zagst, 2010. Comparison and robustification of Bayes and Black-Litterman models. Mathematical Methods of Operations Research, 71 (3), pp 453 – 476.
J. Haase, R. Werner, 2010. A generalized stopping problem with application in counterparty risk modelling. In A. B. Piunovskiy (ed), Modern Trends in Controlled Stochastic Processes: Theory and Applications, pp. 196 – 215, Luniver Press.
K. Schöttle, R. Werner, 2009. Robustness properties of mean-variance portfolios. Optimization, 58 (6), pp 641 – 663.
R. Werner, 2008. Cascading: an adjusted exchange method for robust conic programming. Central European Journal of Operations Research, 16 (2), pp 179 – 189.
A. Kalemanova, B. Schmid, R. Werner, 2007. The normal inverse Gaussian distribution for synthetic CDO pricing. Journal of Derivatives, 14 (3), pp 80 – 93.
K. Schöttle, R. Werner, 2006. Towards reliable efficient frontiers. Journal of Asset Management, 7 (2), pp 128 – 141.
K. Schöttle, R. Werner, 2004. Improving the most general methodology to create a valid correlation matrix. C.A. Brebbia (ed) in Risk Analysis IV; WIT Press.
H. Hörnlein, M. Kocvara, R. Werner, 2001. Material Optimization: Bridging the Gap between Conceptual and Preliminary Design. Aerospace Science and Technology, 5 (8), pp 541 – 554.
R. Werner, 2001. Material Optimization with a Penalty Barrier Multiplier Method. K.-H. Hoffmann, R. Hoppe, V. Schulz (eds.) in Fast Solutions of Discretized Optimization Problems, pp 265 – 280, ISNM 138, Birkhäuser, Berlin.
Monographien
R. Werner, 2001. Free Material Optimization – Mathematical analysis and numerical solution. dissertation.de
Buchbeiträge
K. Schöttle, R. Werner, R. Zagst, 2010. Robustification of Bayesian Portfolio Allocation. In K. Böcker (ed), Rethinking Risk Measurement and Reporting: Volume I, Risk Books.
M. Spangler, R. Werner, 2010. Potential future market risk. In D. Rösch, H. Scheuerle (eds), Model Risk – Identification, Measurement and Management, pp 315 – 337, Risk Books.
K. Schöttle, R. Werner, 2010. On the benefits of robust asset allocation for CPPI strategies. In R. Kiesel, M. Scherer, R. Zagst (eds), Alternative Investments and Strategies, pp 289 – 320, World Scientific.
R. Hafner, A. Pütz, R. Werner, 2003. Index tracking under transaction costs: rebalancing passive portfolios. The Euromoney, Global Portfolio Trading Handbook.
R. Werner, 2002. A First Approach to Robust Parameter Estimation in the Hull-White Model. RiskLab Germany Solutions Series 3/2002.
Preprints
J. Haase, M. Ilg, R. Werner, 2010. Model-free bounds on bilateral counterparty value adjustments. www.defaultrisk.com
K. Schöttle, R. Werner, 2007. Calibration of correlation matrices - SDP or not SDP. www.gloriamundi.org
H. Hörnlein, M. Kocvara, R. Werner. MOPED – An Integrated Designer Tool for Material Optimization. Preprint 279, Institut für Angewandte Mathematik, FAU Erlangen.
R. Werner. Free Material Optimization: The Single Load Case – A Finite Element Method Analysis. Preprint 267, Institut für Angewandte Mathematik, FAU Erlangen.
M. Kocvara, M. Stingl, R. Werner. MOPED User’s Guide – Version 1.02. Preprint 262, Institut für Angewandte Mathematik, FAU Erlangen.
R. Werner. Free Material Optimization - The Single Load Case. Preprint 251, Institut für Angewandte Mathematik, FAU Erlangen.
