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Escobar M., Yang Y.J., and Zagst R.
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and Applications
Working Paper submitted for publication
2024

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Khemka G.,Lim W., and Zagst R.
The Theory of Constant Proportion Performance Participation
Working Paper submitted for publication
2024

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Euthum, M., Scherer M., and Ungolo F.
A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population
European Actuarial Journal
2024

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Escobar M., Spies B., and Zagst R.
Optimal Consumption and Investment in General Affine GARCH Models
OR Spektrum
2024

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Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Optimal consumption and investment in general affine GARCH models
OR Spectrum
2024

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Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Mean–variance optimization under affine GARCH: A utility-based solution
Finance Research Letters
2024
59
104749

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Escobar M., Molter M. and Zagst R.
The Power of Derivatives in Portfolio Optimization under Affine GARCH models
Decisions in Economics and Finance
2024

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Heger J., Min A., and Zagst R.
Analyzing Credit Spread Changes using Explainable Artifcial Intelligence
International Review of Financial Analysis
2024
94
103315

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Engel J., Ohlwerter D. und Scherer M.
On the estimation of distributional household wealth – Solving under-reporting via optimization problems
European Central Bank Working Paper Series
2023
2865

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Jan-Frederik Mai, Aleksandra Blagoeva, Matthias Scherer
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence
Frontiers of Mathematical Finance
2023