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

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

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

Escobar-Anel, Marcos;Spies, Ben;Zagst, Rudi
Do Jumps Matter in Discrete-Time Portfolio Optimization?
2023

Escobar M., Molter M. and Zagst R.
The Power of Derivatives in Portfolio Optimization under Affine GARCH models
Working Paper submitted for publication
2023