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

Schlick O., Wahl M., and R. Zagst
Dynamische Portfolio-Absicherung mit Frühwarnkomponente
Absolut Report
2023
22
3

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

Escobar M., Kschonnek M. and Zagst R.
Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Working Paper, submitted for publication
2023

Kschonnek M., Dobrovolska I., Protzer U. and Zagst R.
COVIX - An Index Allowing to Assess the Pandemic Situation Based on Infections and Hospitalization Data
Applied Sciences, Vol. 13, No. 7, 4554
2023

Escobar M., Theilacker L. and Zagst R.
Revisiting the 1/N-strategy: a neural network framework for optimal strategies
Decisions in Economics and Finance
2023

Escobar M., Havrylenko Y. and Zagst R.
Constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Working Paper submitted for publication
2022

Escobar M., Kschonnek M. and Zagst R.
Portfolio Optimization: Not Necessarily Concave Utility and Constraints on Wealth and Allocation
Mathematical Methods of Operations Research
2022
1-40

Escobar M.; Gollart M.; Zagst R.
Closed-form portfolio optimization under GARCH models
Operations Research Perspectives
2022
9
1-13