Degginger, Marco; Grätz, Axel; Hilber, Marc; Hoff, Kai; Reiter, Verena; Scherer, Matthias
Das DGVFM - Datenbankprojekt – eine zukunftsweisende Kooperation zwischen Versicherungsindustrie und Wissenschaft
DAV Journal
2024
12-17

Khemka G.,Lim W., and Zagst R.
The Theory of Constant Proportion Performance Participation
Working Paper submitted for publication
2024

Euthum, M., Scherer M., and Ungolo F.
A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population
European Actuarial Journal
2024

Escobar M., Spies B., and Zagst R.
Optimal Consumption and Investment in General Affine GARCH Models
OR Spektrum
2024

Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Optimal consumption and investment in general affine GARCH models
OR Spectrum
2024

Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Mean–variance optimization under affine GARCH: A utility-based solution
Finance Research Letters
2024
59
104749

Escobar M., Molter M. and Zagst R.
The Power of Derivatives in Portfolio Optimization under Affine GARCH models
Decisions in Economics and Finance
2024

Engel J., Ohlwerter D. und Scherer M.
On the estimation of distributional household wealth – Solving under-reporting via optimization problems
European Central Bank Working Paper Series
2023
2865

Jan-Frederik Mai, Aleksandra Blagoeva, Matthias Scherer
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence
Frontiers of Mathematical Finance
2023

Escobar M., Spies B., and Zagst R.
Mean-Variance Optimization under Affine GARCH: A Utility-Based Solution
Finance Research Letters, accepted for publication
2023