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., Kschonnek M. and Zagst R.
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics
working paper submitted for publication
2022

Escobar M., Kschonnek M. and Zagst R.
Portfolio Optimization: Not Necessarily Concave Utility and Constraints on Wealth and Allocation
Mathematical Methods of Operations Research
2022
1-40

Escobar M.; Havrylenko Y.; Kschonnek M.; Zagst R.
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Insurance: Mathematics and Economics
2022
Vol. 105, 14-40
Insurance: Mathematics and Economics