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Kiesel, Rüdiger - 2010

Key Features:Combines up-to-date research and practical experience in a unique wayProvides theoretical insight and real-world expertise on new trading strategiesEmpowers practitioners with the latest theoretical insights on asset managementInternational experts from both academia and financial...

Persistent link: https://www.econbiz.de/10012689622

Cross-commodity analysis and applications to risk management

Börger, Reik H.; Cartea, Álvaro; Kiesel, Rüdiger; … - In: The journal of futures markets 29 (2009) 3, pp. 197-217

Persistent link: https://www.econbiz.de/10003831083

Alternative investments and strategies : credit, derivatives, CPPI, investments, risk

Kiesel, Rüdiger (ed.) - 2010

Persistent link: https://www.econbiz.de/10008655354

Effiziente Value-at-Risk-Berechnung für Rentenportfolios

Zagst, Rudi - In: Finanzmarkt und Portfolio-Management 11 (1997) 2, pp. 165-178

Persistent link: https://www.econbiz.de/10001227919

Estimation of the term structure and its application to risk management

Zagst, Rudi - 1997

Persistent link: https://www.econbiz.de/10000980079

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

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

Comparison and robustification of Bayes and Black-Litterman models

Schöttle, Katrin; Werner, Ralf; Zagst, Rudi - In: Mathematical methods of operations research 71 (2010) 3, pp. 453-475

Persistent link: https://www.econbiz.de/10003990389

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