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~person:"Escobar, Marcos"
~person:"Korn, Ralf"
~person:"Post, Thierry"
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Escobar, Marcos
Korn, Ralf
Post, Thierry
Li, Duan
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19
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1
Optimal portfolios in the presence of stress scenarios : a worst-case approach
Korn, Ralf
;
Müller, Lukas
- In:
Mathematics and financial economics
16
(
2022
)
1
,
pp. 153-185
Persistent link: https://www.econbiz.de/10013167740
Saved in:
2
Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation
Escobar, Marcos
;
Kschonnek, Michel
;
Zagst, Rudi
- In:
Mathematical methods of operations research : ZOR
95
(
2022
)
1
,
pp. 101-140
Persistent link: https://www.econbiz.de/10013184223
Saved in:
3
Mean-variance optimization under affine GARCH : a utility-based solution
Escobar, Marcos
;
Spies, Ben
;
Zagst, Rudi
- In:
Finance research letters
59
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014445236
Saved in:
4
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
5
Optimal portfolio choice for higher-order risk averters
Fang, Yi
;
Post, Thierry
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013460225
Saved in:
6
Portfolio optimization with wealth-dependent risk constraints
Escobar, Marcos
;
Wahl, Markus
;
Zagst, Rudi
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 244-268
Persistent link: https://www.econbiz.de/10013370501
Saved in:
7
Stochastic bounds for reference sets in portfolio analysis
Arvanitis, Stelios
;
Post, Thierry
;
Topaloglou, Nikolas
- In:
Management science : journal of the Institute for …
67
(
2021
)
12
,
pp. 7737-7754
Persistent link: https://www.econbiz.de/10012815733
Saved in:
8
Multi-asset worst-case optimal portfolios
Korn, Ralf
;
Leoff, Elisabeth
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012030905
Saved in:
9
Stochastic spanning
Arvanitis, Stelios
;
Hallam, Mark
;
Post, Thierry
; …
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 573-585
Persistent link: https://www.econbiz.de/10012178998
Saved in:
10
Dynamic hybrid products with guarantees : an optimal portfolio framework
Hambardzumyan, Hayk
;
Korn, Ralf
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 54-66
Persistent link: https://www.econbiz.de/10011990433
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