Markus Johannes Maier, Matthias Scherer
Optimal basis risk weighting in expectile-based parametric insurance
2026

Zagst, Rudi;Lim, William;Khemka, Gaurav
Constant proportion performance participation
Quantitative Finance
2026
1-16

Ehler N., Escobar M., Stentoft L., and Zagst R.
Behavioral Portfolio Decisions in a GARCH World
Management Science
2026

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

Khemka G., Lim W., and Zagst R.
Constant Proportion Performance Participation
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

Zagst R., Khemka G., Escobar M.
Mean–variance optimization of terminal wealth and consumption
Finance Research Letters
2025
Volume 86, Part B, 108420

Gonzalo, Victor;Wahl, Markus;Zagst, Rudi
Dynamic Portfolio Optimization Using Information from a Crisis Indicator
Mathematics
2025
13
16
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