Siggelkow, Constantin
Partial hedging in credit markets with structured derivatives: a quantitative approach using put options
Journal of Derivatives and Quantitative Studies
2024

Escobar M., Spies B., and Zagst R.
Do Jumps Matter in Discrete-Time Portfolio Optimization?
Operations Research Perspectives, accepted for publication
2024
13

Escobar M., Yang Y.J., and Zagst R.
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and Applications
Working Paper submitted for publication
2024

Khemka G.,Lim W., and Zagst R.
The Theory of Constant Proportion Performance Participation
Working Paper submitted for publication
2024

Euthum, M., Scherer M. and Ungolo F.
A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population
European Actuarial Journal
2024

Escobar M., Spies B., and Zagst R.
Optimal Consumption and Investment in General Affine GARCH Models
OR Spectrum
2024

Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Optimal consumption and investment in general affine GARCH models
OR Spectrum
2024

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

Escobar M., Spies B., and Zagst R.
Mean-Variance Optimization under Affine GARCH: A Utility-Based Solution
Finance Research Letters
2024
59
104749

Escobar M., Speck M., and Zagst R.
Bayesian learning in an Affine GARCH model with application to portfolio optimization
Working Paper submitted for publication
2024
12
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