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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

Do jumps matter in discrete-time portfolio optimization?

Escobar, Marcos; Spies, Ben; Zagst, Rudi - In: Operations research perspectives 13 (2024), pp. 1-13

This paper studies a discrete-time portfolio optimization problem, wherein the underlying risky asset follows a Lévy GARCH model. Besides a Gaussian noise, the framework allows for various jump increments, including infinite-activity jumps. Using a dynamic programming approach and exploiting...

Persistent link: https://www.econbiz.de/10015372635

Portfolio optimization under volatility and shortfall constraints

Kalin, Dieter; Zagst, Rudi - 1995

Persistent link: https://www.econbiz.de/10000955547

Portfolio optimization : volatility constraints versus shortfall constraints

Kalin, Dieter; Zagst, Rudi - In: OR-Spektrum : quantitative approaches in management 21 (1999) 1/2, pp. 97-122

Persistent link: https://www.econbiz.de/10001411516

Asset allocation with credit instruments

Menzinger, Barbara; Schlösser, Anna; Zagst, Rudi - In: Alternative investments and strategies : credit, …, (pp. 147-173). 2010

Persistent link: https://www.econbiz.de/10008655204

The risk appetite of private equity sponsors

Braun, Reiner; Engel, Nico; Hieber, Peter; Zagst, Rudi - In: Journal of empirical finance 18 (2011) 5, pp. 815-832

Persistent link: https://www.econbiz.de/10009492043

A Fund of Hedge Funds Under Regime Switching

Saunders, David M.; Seco, Luis; Vogt, Christopher; … - In: The journal of alternative investments 15 (2012/13) 4, pp. 8-23

Persistent link: https://www.econbiz.de/10009745288

Responsible investing : verantwortlich investieren

Zagst, Rudi; Krimm, Theresa; Hörter, Steffen; … - 2011 - 1. Aufl.

Persistent link: https://www.econbiz.de/10008757895

A multi-curve HJM factor model for pricing and risk management

Bienek, Tobias; Deelstra, Griselda; Lichtenstern, Andreas; … - In: Quantitative finance 23 (2023) 11, pp. 1659-1675

Persistent link: https://www.econbiz.de/10014419185

Portfolio choice with stochastic interest rates and learning about stock return predictability

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: International review of economics & finance : IREF 41 (2016), pp. 347-370

Persistent link: https://www.econbiz.de/10011624748