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

Altheimer J., Han L., Trueck S. and Zagst R.
Financial Innovation in Retail Electricity Markets: Residential Solar and Battery Power Purchase Agreements
2024

Altheimer J., S. Truck, Zagst R. and Zhang J.
A Stationary Bootstrap Approach to Simulating Rooftop Solar PV Generation and Electricity Consumption from Households
2024

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

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

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

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

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