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Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

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

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

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

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

A class of portfolio optimization solvable problems

Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014472208

Portfolio optimization in affine models with Markov switching

Escobar, Marcos; Neykova, Daniela; Zagst, Rudi - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-46

Persistent link: https://www.econbiz.de/10011403855

Optimal investment in multidimensional Markov-modulated affine models

Neykova, Daniela; Escobar, Marcos; Zagst, Rudi - In: Annals of finance 11 (2015) 3/4, pp. 503-530

Persistent link: https://www.econbiz.de/10011459789

Inverse portfolio optimisation under constraints

Zagst, Rudi; Pöschik, Michaela - In: The journal of asset management 9 (2008/09) 3, pp. 239-253

Persistent link: https://www.econbiz.de/10003764556

Asset liability management in financial planning

Höchst, Stephan; Ng, Kah Hwa; Rösch, Christoph G.; … - In: The journal of wealth management 11 (2008/09) 2, pp. 29-46

Persistent link: https://www.econbiz.de/10003815955