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

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Mai J. F., Blagoeva A., and Scherer M.
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence
Frontiers of Mathematical Finance
2023

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Bienek T., Deelstra G., Lichtenstern A. and Zagst R.
A Multi-Curve HJM Factor model for pricing and risk management
Quantitative Finance
2023
Vol. 23
No. 11
1659–1675

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Siggelkow, C., Fernandez, R.M.
SME default prediction using random forest including nonfinancial features: An empiricial analysis of German enterprises
Journal of the International Council for Small Business
2023

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Schlick O., Wahl M., and R. Zagst
Dynamische Portfolio-Absicherung mit Frühwarnkomponente
Absolut Report
2023
22
3

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Kschonnek, Michel
Duality Methods for Dynamic Portfolio Optimization with Constraints
2023
Dissertation
171 p.

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Zeller G. and Scherer M.
Risk mitigation services in cyber insurance: Optimal contract design and price structure
The Geneva Papers on Risk and Insurance—Issues and Practice
2023

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Sloot, H.
Implementing Markovian models for extendible Marshall–Olkin distributions
Dependence Modeling
2023

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Escobar M., Kschonnek M. and Zagst R.
Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Quantitative Finance
2023
1-21

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Genest, C. and Scherer, M
When copulas and smoothing met: An interview with Irène Gijbels
Dependence Modeling
2023