De Witte D., Mai J. and Scherer M.
Portfolio optimization in a multivariate jump-diffusion model
2025

Khemka G., Lim W. and Zagst R.
Constant Proportion Performance Participation
2025

Escobar M., Havrylenko Y. and R. Zagst
Value-at-Risk Constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
2025

De Vecchi, C. and Scherer, M.
Pricing Insurance Contracts with an Existing Portfolio as Background Risk
forthcoming in Insurance: Mathematics and Economics
2025

Escobar M., Yang Y.J., and Zagst R.
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and Applications
North American Journal of Economics and Finance
2025

Altheimer J., Han L., Trueck S. and Zagst R.
Financial Innovation in Retail Electricity Markets: Residential Solar and Battery Power Purchase Agreements
2024

Altheimer J., S. Truck, Zagst R. and Zhang J.
A Stationary Bootstrap Approach to Simulating Rooftop Solar PV Generation and Electricity Consumption from Households
2024

De Vecchi C. and Scherer M.
On Expectiles and Almost Stochastic Dominance
Working Paper
2024

Siggelkow, Constantin
Partial hedging in credit markets with structured derivatives: a quantitative approach using put options
Journal of Derivatives and Quantitative Studies
2024

Escobar M., Spies B., and Zagst R.
Do Jumps Matter in Discrete-Time Portfolio Optimization?
Operations Research Perspectives, accepted for publication
2024
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