Escobar M., Speck M., and Zagst R. Bayesian learning in an Affine GARCH model with application to portfolio optimizationWorking Paper submitted for publication2023
Bienek T., Deelstra G., Lichtenstern A. and Zagst R.A Multi-Curve HJM Factor model for pricing and risk managementQuantitative Finance2023
Schlick O., Wahl M., and R. Zagst Dynamische Portfolio-Absicherung mit FrühwarnkomponenteAbsolut Report2023223
Escobar M., Molter M. and Zagst R.The Power of Derivatives in Portfolio Optimization under Affine GARCH modelsWorking Paper submitted for publication2023
Escobar M., Kschonnek M. and Zagst R.Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model Working Paper, submitted for publication2023
Kschonnek M., Dobrovolska I., Protzer U. and Zagst R.COVIX - An Index Allowing to Assess the Pandemic Situation Based on Infections and Hospitalization DataApplied Sciences, Vol. 13, No. 7, 45542023
Escobar M., Theilacker L. and Zagst R.Revisiting the 1/N-strategy: a neural network framework for optimal strategiesDecisions in Economics and Finance2023
Escobar M., Havrylenko Y. and Zagst R.Constrained portfolios in incomplete markets: a dynamic programming approach to Heston's modelWorking Paper submitted for publication2022
Escobar M., Kschonnek M. and Zagst R.Portfolio Optimization: Not Necessarily Concave Utility and Constraints on Wealth and Allocation Mathematical Methods of Operations Research20221-40
Escobar M.; Gollart M.; Zagst R.Closed-form portfolio optimization under GARCH modelsOperations Research Perspectives202291-13