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Portfolio optimization in a multidimensional structural-default model with a focus on private equity

Escobar, Marcos; Hieber, Peter; Scherer, Matthias; … - In: The journal of private equity 15 (2011/12) 1, pp. 26-35

Persistent link: https://www.econbiz.de/10009410763

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

Systemic risk

Hauptmann, Johannes; Zagst, Rudi - In: Quantitative financial risk management, (pp. 321-338). 2011

Persistent link: https://www.econbiz.de/10009301403

Impact of factor models on portfolio risk measures : a structural approach

Escobar, Marcos; Frielingsdorf, Tobias; Zagst, Rudi - In: The journal of credit risk : published quarterly by … 8 (2012) 2, pp. 47-79

Persistent link: https://www.econbiz.de/10009673647

Estimation of risk measures for large credit portfolios

Hauptmann, Johannes; Olivares, Pablo; Zagst, Rudi - In: The journal of credit risk : published quarterly by … 10 (2014) 2, pp. 3-37

Persistent link: https://www.econbiz.de/10010386001

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

Portfolio optimization under Solvency II

Escobar, Marcos; Kriebel, Paul; Wahl, Markus; Zagst, Rudi - In: Decision making and risk/return optimization in …, (pp. 193-227). 2019

Persistent link: https://www.econbiz.de/10012134801

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

Decrease of capital guarantees in life insurance products : can reinsurance stop it?

Escobar, Marcos; Havrylenko, Yevhen; Kschonnek, Michel; … - In: Insurance / Mathematics & economics 105 (2022), pp. 14-40

Persistent link: https://www.econbiz.de/10013348899

The power of derivatives in portfolio optimization under affine GARCH models

Escobar, Marcos; Molter, Eric; Zagst, Rudi - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 151-181

Persistent link: https://www.econbiz.de/10015044791