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

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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

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

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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

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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