The Power of Derivatives in Portfolio Optimization under Affine GARCH models
Decisions in Economics and Finance
2024
Mean-Variance Optimization under Affine GARCH: A Utility-Based Solution
Finance Research Letters, accepted for publication
2023
Bayesian learning in an Affine GARCH model with application to portfolio optimization
Working Paper submitted for publication
2023
A Multi-Curve HJM Factor model for pricing and risk management
Quantitative Finance
2023
Vol. 23
No. 11
1659–1675
Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Quantitative Finance
2023
1-21
COVIX - An Index Allowing to Assess the Pandemic Situation Based on Infections and Hospitalization Data
Applied Sciences, Vol. 13, No. 7, 4554
2023
Revisiting the 1/N-strategy: a neural network framework for optimal strategies
Decisions in Economics and Finance
2023
Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
European Actuarial Journal
2022
12
1
647-700