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Mathematical programming
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Zagst, Rudi
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Inverse portfolio optimisation under constraints
Zagst, Rudi
;
Pöschik, Michaela
- In:
The journal of asset management
9
(
2008/09
)
3
,
pp. 239-253
Persistent link: https://www.econbiz.de/10003764556
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2
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
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3
Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation
Escobar, Marcos
;
Kschonnek, Michel
;
Zagst, Rudi
- In:
Mathematical methods of operations research : ZOR
95
(
2022
)
1
,
pp. 101-140
Persistent link: https://www.econbiz.de/10013184223
Saved in:
4
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:
5
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
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6
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
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