Maier M., Scherer M.
Expectiles as basis risk-optimal payment schemes in parametric insurance
Forthcoming in the European Actuarial Journal
2026

Siggelkow C., Scherer M.
Enhancing small and medium-sized enterprise factoring: a Stackelberg game-based hybrid pricing model
Journal of Credit Risk
2025

ESCOBAR M. LAUSSER T. R. ZAGST
Closed-form optimal investment under generalized GARCH Models
2025

Gonzalo, Victor;Wahl, Markus;Zagst, Rudi
Dynamic Portfolio Optimization Using Information from a Crisis Indicator
Mathematics
2025
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2664

Brück F., Fermanian J. and Min A.
Distribution Free Tests for Model Selection Based on Maximum Mean Discrepancy with Estimated Parameters
Journal of Machine Learning Research
2025

Gonzalo V., Wahl M., and Zagst R.
Dynamic Portfolio Optimization using Information from a Crisis Indicator
Working Paper, submitted for publlication
2025

Ehler N., Escobar M., Stentoft L., and Zagst R.
Behavioral Portfolio Decisions in a GARCH World
Management Science
2025

Escobar M., Khemka G., and R. Zagst
Mean-Variance optimization of terminal wealth and consumption
Working Paper, submitted for publication
2025

Escobar M., Laussert T., and Zagst R.
Closed-form optimal investment under generalized GARCH Models
2025

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