Monotonicity and bounds for convex stochastic control models. - Ulrich Rieder; Rudi Zagst (Math. Methods Oper. Res., 1994)

The effect of information in separable Bayesian semi-Markov control models and its application to investment planning. - Rudi Zagst (Math. Methods Oper. Res., 1995)

Portfolio Optimization Under Credit Risk. - Rudi Zagst; Jan Kehrbaum; Bernd Schmid (Comput. Stat., 2003)

Integrated portfolio management with options. - Gerhard Scheuenstuhl; Rudi Zagst (Eur. J. Oper. Res., 2008)

Comparison and robustification of Bayes and Black-Litterman models. - Katrin Schöttle; Ralf Werner; Rudi Zagst (Math. Methods Oper. Res., 2010)

Stochastic dominance of portfolio insurance strategies - OBPI versus CPPI. - Rudi Zagst; Julia Kraus (Ann. Oper. Res., 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)

Modeling and managing portfolios including listed private equity. - Philipp Aigner; Georg Beyschlag; Tim Friederich; Markus Kalepky; Rudi Zagst (Comput. Oper. Res., 2012)

Algorithm 963: Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions. - Marcos Escobar; Benedikt Rudolph; Rudi Zagst (ACM Trans. Math. Softw., 2016)

Portfolio optimization under Solvency II. - Marcos Escobar; Paul Kriebel; Markus Wahl; Rudi Zagst (Ann. Oper. Res., 2019)

Optimal HARA Investments with Terminal VaR Constraints. - Marcos Escobar-Anel; Maximilian Keller; Rudi Zagst (Adv. Oper. Res., 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 consumption and investment in general affine GARCH models. - Marcos Escobar-Anel; Ben Spies; Rudi Zagst (OR Spectr., 2024)

Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model. - Marcos Escobar-Anel; Yevhen Havrylenko; Rudi Zagst (Ann. Oper. Res., 2025)