E-LIB Suche - Ergebnisse für: Zagst, Rudi

1

Bayesian Learning in an Affine GARCH Model with Application..:

Escobar-Anel, Marcos ; Speck, Max ; Zagst, Rudi
Mathematics. 12 (2024) 11 - p. 1611 , 2024

Link: https://doi.org/10.3390/..

2

Do jumps matter in discrete-time portfolio optimization?:

Escobar-Anel, Marcos ; Spies, Ben ; Zagst, Rudi
Operations Research Perspectives. 13 (2024) - p. 100312 , 2024

Link: https://doi.org/10.1016/..

3

Mean–variance optimization under affine GARCH: A utility-ba..:

Escobar-Anel, Marcos ; Spies, Ben ; Zagst, Rudi
Finance Research Letters. 59 (2024) - p. 104749 , 2024

Link: https://doi.org/10.1016/..

4

Optimal consumption and investment in general affine GARCH ..:

Escobar-Anel, Marcos ; Spies, Ben ; Zagst, Rudi
OR Spectrum. , 2024

Link: https://doi.org/10.1007/..

5

Analyzing credit spread changes using explainable artificia..:

Heger, Julia ; Min, Aleksey ; Zagst, Rudi
International Review of Financial Analysis. 94 (2024) - p. 103315 , 2024

Link: https://doi.org/10.1016/..

6

The power of derivatives in portfolio optimization under af..:

Escobar-Anel, Marcos ; Molter, Eric ; Zagst, Rudi
Decisions in Economics and Finance. 47 (2024) 1 - p. 151-181 , 2024

Link: https://doi.org/10.1007/..

7

Risk limitation and risk sharing in investment and insuranc:

Havrylenko, Yevhen , 2023

Link: http://nbn-resolving.de/..

8

A multi-curve HJM factor model for pricing and risk managem..:

Bienek, Tobias ; Deelstra, Griselda ; Lichtenstern, Andreas.
Quantitative Finance. 23 (2023) 11 - p. 1659-1675 , 2023

Link: https://doi.org/10.1080/..

9

Correction: Revisiting the 1/N-strategy: a neural network f..:

Escobar-Anel, Marcos ; Theilacker, Lorenz ; Zagst, Rudi
Decisions in Economics and Finance. 46 (2023) 2 - p. 543-543 , 2023

Link: https://doi.org/10.1007/..

10

COVIX—An Index Allowing for the Assessment of the Pandemic ..:

Kschonnek, Michel ; Dobrovolska, Iryna ; Protzer, Ulrike.
Applied Sciences. 13 (2023) 7 - p. 4554 , 2023

Link: https://doi.org/10.3390/..

11

Revisiting the 1/N-strategy: a neural network framework for..:

Escobar-Anel, Marcos ; Theilacker, Lorenz ; Zagst, Rudi
Decisions in Economics and Finance. 46 (2023) 2 - p. 505-542 , 2023

Link: https://doi.org/10.1007/..

12

Risk sharing in equity-linked insurance products: Stackelbe..:

Havrylenko, Yevhen ; Hinken, Maria ; Zagst, Rudi
ASTIN Bulletin. 54 (2023) 1 - p. 129-158 , 2023

Link: https://doi.org/10.1017/..

13

Explaining Aggregated Recovery Rates:

Höcht, Stephan ; Min, Aleksey ; Wieczorek, Jakub.
Risks. 10 (2022) 1 - p. 18 , 2022

Link: https://doi.org/10.3390/..

14

Optimal HARA Investments with Terminal VaR Constraints:

Escobar-Anel, Marcos ; Keller, Maximilian ; Zagst, Rudi.
Advances in Operations Research. 2022 (2022) - p. 1-20 , 2022

Link: https://doi.org/10.1155/..

15

Portfolio optimization: not necessarily concave utility and..:

Escobar-Anel, Marcos ; Kschonnek, Michel ; Zagst, Rudi
Mathematical Methods of Operations Research. 95 (2022) 1 - p. 101-140 , 2022

Link: https://doi.org/10.1007/..