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~accessRights:"restricted"
~person:"Gouriéroux, Christian"
~person:"Maravall Herrero, Agustín"
~person:"Zagst, Rudi"
~subject:"Estimation theory"
~subject:"Portfolio-Management"
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Search: subject_exact:"Theoretisches Modell"
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Estimation theory
Portfolio-Management
Theorie
27
Theory
27
Portfolio selection
15
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4
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4
Risikoaversion
4
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Gouriéroux, Christian
Maravall Herrero, Agustín
Zagst, Rudi
Escobar, Marcos
22
Fabozzi, Frank J.
21
Wang, Ruodu
16
Wong, Wing Keung
14
Forsyth, Peter A.
13
Prigent, Jean-Luc
13
Uppal, Raman
13
Vanduffel, Steven
12
Cui, Xiangyu
11
Kwon, Roy H.
11
Li, Duan
11
Soner, Halil Mete
11
Tan, Ken Seng
11
Bernard, Carole
10
Capponi, Agostino
10
Chen, An
10
Liang, Zongxia
10
Muhle-Karbe, Johannes
10
Righi, Marcelo Brutti
10
Wong, Hoi Ying
10
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9
Dai, Min
9
Jang, Bong-Gyu
9
Kim, Woo Chang
9
Ledoit, Olivier
9
Li, Zhongfei
9
Wolf, Michael
9
Yao, Haixiang
9
Dai, Zhifeng
8
Li, Bin
8
Li, Danping
8
Li, Xun
8
Post, Thierry
8
Rüschendorf, Ludger
8
Guan, Guohui
7
Guasoni, Paolo
7
Härdle, Wolfgang
7
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7
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7
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1
Decision making and risk/return optimization in financial economics
1
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1
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ECONIS (ZBW)
15
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1
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
Saved in:
2
Revisiting the 1/N-strategy : a neural network framework for optimal strategies
Escobar, Marcos
;
Theilacker, Lorenz
;
Zagst, Rudi
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
2
,
pp. 505-542
Persistent link: https://www.econbiz.de/10014443753
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Positional portfolio management
Gagliardini, Patrick
;
Gouriéroux, Christian
;
Rubin, Mirco
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 650-706
Persistent link: https://www.econbiz.de/10012654983
Saved in:
6
Expected utility theory on general affine GARCH models
Escobar, Marcos
;
Spies, Ben
;
Zagst, Rudi
- In:
Applied mathematical finance
28
(
2021
)
6
,
pp. 477-507
Persistent link: https://www.econbiz.de/10013411768
Saved in:
7
Optimal fees in hedge funds with first-loss compensation
Escobar, Marcos
;
Havrylenko, Y.
;
Zagst, Rudi
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012521040
Saved in:
8
Behavioral portfolio choice under hyperbolic absolute risk aversion
Escobar, Marcos
;
Lichtenstern, Andreas
;
Zagst, Rudi
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012496902
Saved in:
9
Behavioral portfolio insurance strategies
Escobar, Marcos
;
Lichtenstern, Andreas
;
Zagst, Rudi
- In:
Financial markets and portfolio management
34
(
2020
)
4
,
pp. 353-399
Persistent link: https://www.econbiz.de/10012309906
Saved in:
10
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
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