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

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

Escobar M., Speck M., and Zagst R.
Bayesian learning in an Affine GARCH model with application to portfolio optimization
Working Paper submitted for publication
2023

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

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

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

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

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

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

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