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

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

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
1611

Escobar M., Molter M. and Zagst R.
The Power of Derivatives in Portfolio Optimization under Affine GARCH models
Decisions in Economics and Finance
2024

Heger J., Min A., and Zagst R.
Analyzing Credit Spread Changes using Explainable Artifcial Intelligence
International Review of Financial Analysis
2024
94
103315

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

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