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Escobar M., Spies B., and Zagst R.
Do Jumps Matter in Discrete-Time Portfolio Optimization?
Operations Research Perspectives, accepted for publication
2024
13

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Escobar M., Yang Y.J., and Zagst R.
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and Applications
Working Paper submitted for publication
2024

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Khemka G.,Lim W., and Zagst R.
The Theory of Constant Proportion Performance Participation
Working Paper submitted for publication
2024

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

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Escobar M., Spies B., and Zagst R.
Mean-Variance Optimization under Affine GARCH: A Utility-Based Solution
Finance Research Letters
2024
59
104749

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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

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

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

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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

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