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

Escobar M., Kschonnek M. and Zagst R.
Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Quantitative Finance
2023
1-21

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

Lichtenstern A. and Zagst R.
Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
European Actuarial Journal
2022
12
1
647-700

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