Rudi Zagst

Publication Activity (10 Years)

Years Active: 1994-2024
Publications (10 Years): 5

Top Topics

Portfolio Management

Utility Function

Top Venues

Ann. Oper. Res.

Adv. Oper. Res.

ACM Trans. Math. Softw.

Publications

Marcos Escobar-Anel, Ben Spies, Rudi Zagst
Optimal consumption and investment in general affine GARCH models. OR Spectr. 46 (3) (2024)
Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation. Math. Methods Oper. Res. 95 (1) (2022)
Marcos Escobar-Anel, Maximilian Keller, Rudi Zagst
Optimal HARA Investments with Terminal VaR Constraints. Adv. Oper. Res. 2022 (2022)
Marcos Escobar, Paul Kriebel, Markus Wahl, Rudi Zagst
Portfolio optimization under Solvency II. Ann. Oper. Res. 281 (1-2) (2019)
Marcos Escobar, Benedikt Rudolph, Rudi Zagst
Algorithm 963: Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions. ACM Trans. Math. Softw. 42 (4) (2016)
Philipp Aigner, Georg Beyschlag, Tim Friederich, Markus Kalepky, Rudi Zagst
Modeling and managing portfolios including listed private equity. Comput. Oper. Res. 39 (4) (2012)
Rudi Zagst, Julia Kraus
Stochastic dominance of portfolio insurance strategies - OBPI versus CPPI. Ann. Oper. Res. 185 (1) (2011)
German Bernhart, Stephan Höcht, Michael Neugebauer, Michael Neumann, Rudi Zagst
Asset Correlations in Turbulent Markets and the Impact of Different Regimes on Asset Management. Asia Pac. J. Oper. Res. 28 (1) (2011)
Katrin Schöttle, Ralf Werner, Rudi Zagst
Comparison and robustification of Bayes and Black-Litterman models. Math. Methods Oper. Res. 71 (3) (2010)
Gerhard Scheuenstuhl, Rudi Zagst
Integrated portfolio management with options. Eur. J. Oper. Res. 185 (3) (2008)
Rudi Zagst, Jan Kehrbaum, Bernd Schmid
Portfolio Optimization Under Credit Risk. Comput. Stat. 18 (3) (2003)
Rudi Zagst
The effect of information in separable Bayesian semi-Markov control models and its application to investment planning. Math. Methods Oper. Res. 41 (3) (1995)
Ulrich Rieder, Rudi Zagst
Monotonicity and bounds for convex stochastic control models. Math. Methods Oper. Res. 39 (2) (1994)