Rudi Zagst

According to our database, Rudi Zagst authored at least 12 papers between 1994 and 2022.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2022

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation.

Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst

Math. Methods Oper. Res., 2022

Optimal HARA Investments with Terminal VaR Constraints.

Marcos Escobar-Anel, Maximilian Keller, Rudi Zagst

Adv. Oper. Res., 2022

2019

Portfolio optimization under Solvency II.

Marcos Escobar, Paul Kriebel, Markus Wahl, Rudi Zagst

Ann. Oper. Res., 2019

2016

Algorithm 963: Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions.

Marcos Escobar, Benedikt Rudolph, Rudi Zagst

ACM Trans. Math. Softw., 2016

2012

Modeling and managing portfolios including listed private equity.

Philipp Aigner, Georg Beyschlag, Tim Friederich, Markus Kalepky, Rudi Zagst

Comput. Oper. Res., 2012

2011

Asset Correlations in Turbulent Markets and the Impact of Different Regimes on Asset Management.

German Bernhart, Stephan Höcht, Michael Neugebauer, Michael Neumann, Rudi Zagst

Asia Pac. J. Oper. Res., 2011

Stochastic dominance of portfolio insurance strategies - OBPI versus CPPI.

Rudi Zagst, Julia Kraus

Ann. Oper. Res., 2011

2010

Comparison and robustification of Bayes and Black-Litterman models.

Katrin Schöttle, Ralf Werner, Rudi Zagst

Math. Methods Oper. Res., 2010

2008

Integrated portfolio management with options.

Gerhard Scheuenstuhl, Rudi Zagst

Eur. J. Oper. Res., 2008

2003

Portfolio Optimization Under Credit Risk.

Rudi Zagst, Jan Kehrbaum, Bernd Schmid

Comput. Stat., 2003

1995

The effect of information in separable Bayesian semi-Markov control models and its application to investment planning.

Rudi Zagst

Math. Methods Oper. Res., 1995

1994

Monotonicity and bounds for convex stochastic control models.

Ulrich Rieder, Rudi Zagst

Math. Methods Oper. Res., 1994