Similar Search Results

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

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

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

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

Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity

Bergen, V.; Escobar, Marcos; Rubtsov, A.; Zagst, Rudi - In: Quantitative finance 18 (2018) 8, pp. 1265-1294

Persistent link: https://www.econbiz.de/10011911537

Stochastic covariance and dimension reduction in the pricing of basket options

Escobar, Marcos; Krause, Daniel; Zagst, Rudi - In: Review of derivatives research 19 (2016) 3, pp. 165-200

Persistent link: https://www.econbiz.de/10011927967

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

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

Pricing multiple barrier derivatives under stochastic volatility

Escobar, Marcos; Panz, Sven; Zagst, Rudi - In: The journal of computational finance 24 (2020) 2, pp. 77-101

Persistent link: https://www.econbiz.de/10012543622

Optimal investment strategies for pension funds

Lichtenstern, Andreas - 2020

Persistent link: https://www.econbiz.de/10012507208

1
2
3
4
5
6
7
8
9
10
Next
Last