Rudi Zagst

14 papers Journal 14
YearRankTypeTitle / Venue / Authors
2025 J jnl
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model.
Ann. Oper. Res.
Marcos Escobar-Anel, Yevhen Havrylenko, Rudi Zagst
2024 J jnl
Optimal consumption and investment in general affine GARCH models.
OR Spectr.
Marcos Escobar-Anel, Ben Spies, Rudi Zagst
2022 J jnl
Optimal HARA Investments with Terminal VaR Constraints.
Adv. Oper. Res.
Marcos Escobar-Anel, Maximilian Keller, Rudi Zagst
2022 J jnl
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation.
Math. Methods Oper. Res.
Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst
2019 J jnl
Portfolio optimization under Solvency II.
Ann. Oper. Res.
Marcos Escobar, Paul Kriebel, Markus Wahl, Rudi Zagst
2016 J jnl
Algorithm 963: Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions.
ACM Trans. Math. Softw.
Marcos Escobar, Benedikt Rudolph, Rudi Zagst
2012 J jnl
Modeling and managing portfolios including listed private equity.
Comput. Oper. Res.
Philipp Aigner, Georg Beyschlag, Tim Friederich, Markus Kalepky, Rudi Zagst
2011 J jnl
Asset Correlations in Turbulent Markets and the Impact of Different Regimes on Asset Management.
Asia Pac. J. Oper. Res.
German Bernhart, Stephan Höcht, Michael Neugebauer, Michael Neumann, Rudi Zagst
2011 J jnl
Stochastic dominance of portfolio insurance strategies - OBPI versus CPPI.
Ann. Oper. Res.
Rudi Zagst, Julia Kraus
2010 J jnl
Comparison and robustification of Bayes and Black-Litterman models.
Math. Methods Oper. Res.
Katrin Schöttle, Ralf Werner, Rudi Zagst
2008 J jnl
Integrated portfolio management with options.
Eur. J. Oper. Res.
Gerhard Scheuenstuhl, Rudi Zagst
2003 J jnl
Portfolio Optimization Under Credit Risk.
Comput. Stat.
Rudi Zagst, Jan Kehrbaum, Bernd Schmid
1995 J jnl
The effect of information in separable Bayesian semi-Markov control models and its application to investment planning.
Math. Methods Oper. Res.
Rudi Zagst
1994 J jnl
Monotonicity and bounds for convex stochastic control models.
Math. Methods Oper. Res.
Ulrich Rieder, Rudi Zagst