Rudi Zagst - researchr alias

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Viewing Publication 1 - 12 from 12

2022

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocationMarcos Escobar-Anel, Michel Kschonnek, Rudi Zagst. mmor, 95(1):101-140, 2022. [doi]

Optimal HARA Investments with Terminal VaR ConstraintsMarcos Escobar-Anel, Maximilian Keller, Rudi Zagst. advor, 2022, 2022. [doi]

2019

Portfolio optimization under Solvency IIMarcos Escobar, Paul Kriebel, Markus Wahl, Rudi Zagst. anor, 281(1-2):193-227, 2019. [doi]

2016

Algorithm 963: Estimation of Stochastic Covariance Models using a Continuum of Moment ConditionsMarcos Escobar, Benedikt Rudolph, Rudi Zagst. TOMS, 42(4):33, 2016. [doi]

2012

Modeling and managing portfolios including listed private equityPhilipp Aigner, Georg Beyschlag, Tim Friederich, Markus Kalepky, Rudi Zagst. cor, 39(4):753-764, 2012. [doi]

2011

Asset Correlations in Turbulent Markets and the Impact of Different Regimes on Asset ManagementGerman Bernhart, Stephan Höcht, Michael Neugebauer, Michael Neumann, Rudi Zagst. apjor, 28(1):1-23, 2011. [doi]

Stochastic dominance of portfolio insurance strategies - OBPI versus CPPIRudi Zagst, Julia Kraus. anor, 185(1):75-103, 2011. [doi]

2010

Comparison and robustification of Bayes and Black-Litterman modelsKatrin Schöttle, Ralf Werner, Rudi Zagst. mmor, 71(3):453-475, 2010. [doi]

2008

Integrated portfolio management with optionsGerhard Scheuenstuhl, Rudi Zagst. eor, 185(3):1477-1500, 2008. [doi]

2003

Portfolio Optimization Under Credit RiskRudi Zagst, Jan Kehrbaum, Bernd Schmid. cstat, 18(3):317-338, 2003. [doi]

1995

The effect of information in separable Bayesian semi-Markov control models and its application to investment planningRudi Zagst. mmor, 41(3):277-288, 1995. [doi]

1994

Monotonicity and bounds for convex stochastic control modelsUlrich Rieder, Rudi Zagst. mmor, 39(2):187-207, 1994. [doi]

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