User: Guest  Login
Sort by:
and:
More ...

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

More ...

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

More ...

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

More ...

Euthum, M., Scherer M. and Ungolo F.
A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population
European Actuarial Journal
2024

More ...

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

More ...

Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Optimal consumption and investment in general affine GARCH models
OR Spectrum
2024

More ...

Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Mean–variance optimization under affine GARCH: A utility-based solution
Finance Research Letters
2024
59
104749

More ...

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

More ...

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

More ...

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