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De Vecchi C. and Scherer M.
On Expectiles and Almost Stochastic Dominance
Working Paper
2024

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

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

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

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

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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

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

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

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

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