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

Khemka G., Lim W., and Zagst R.
Constant Proportion Performance Participation
2026

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

Gonzalo V., Wahl M., and Zagst R.
Dynamic Portfolio Optimization using Information from a Crisis Indicator
Working Paper, submitted for publlication
2025

Escobar M., Khemka G., and R. Zagst
Mean-Variance optimization of terminal wealth and consumption
Working Paper, submitted for publication
2025

Escobar M., Laussert T., and Zagst R.
Closed-form optimal investment under generalized GARCH Models
2025

Escobar M., Havrylenko Y., and R. Zagst
Value-at-Risk Constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
2025

Escobar M., Yang Y.J., and Zagst R.
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and Applications
North American Journal of Economics and Finance
2025