The Theory of Constant Proportion Performance Participation
Working Paper submitted for publication
2024
The Power of Derivatives in Portfolio Optimization under Affine GARCH models
Decisions in Economics and Finance
2024
Mean-Variance Optimization under Affine GARCH: A Utility-Based Solution
Finance Research Letters, accepted for publication
2023
Bayesian learning in an Affine GARCH model with application to portfolio optimization
Working Paper submitted for publication
2023
A Multi-Curve HJM Factor model for pricing and risk management
Quantitative Finance
2023
Vol. 23
No. 11
1659–1675
Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Quantitative Finance
2023
1-21
COVIX - An Index Allowing to Assess the Pandemic Situation Based on Infections and Hospitalization Data
Applied Sciences, Vol. 13, No. 7, 4554
2023
Revisiting the 1/N-strategy: a neural network framework for optimal strategies
Decisions in Economics and Finance
2023