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Rudi Zagst

Affiliations:
  • Technical University Munich, Germany


According to our database1, Rudi Zagst authored at least 13 papers between 1994 and 2024.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

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Links

Online presence:

On csauthors.net:

Bibliography

2024
Optimal consumption and investment in general affine GARCH models.
[BibTeX]
[DOI]
Marcos Escobar-Anel
,
Ben Spies
,
Rudi Zagst
OR Spectr., September, 2024

2022
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation.
[BibTeX]
[DOI]
Marcos Escobar-Anel
,
Michel Kschonnek
,
Rudi Zagst
Math. Methods Oper. Res., 2022

Optimal HARA Investments with Terminal VaR Constraints.
[BibTeX]
[DOI]
Marcos Escobar-Anel
,
Maximilian Keller
,
Rudi Zagst
Adv. Oper. Res., 2022

2019
Portfolio optimization under Solvency II.
[BibTeX]
[DOI]
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.
[BibTeX]
[DOI]
Marcos Escobar
,
Benedikt Rudolph
,
Rudi Zagst
ACM Trans. Math. Softw., 2016

2012
Modeling and managing portfolios including listed private equity.
[BibTeX]
[DOI]
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.
[BibTeX]
[DOI]
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.
[BibTeX]
[DOI]
Rudi Zagst
,
Julia Kraus
Ann. Oper. Res., 2011

2010
Comparison and robustification of Bayes and Black-Litterman models.
[BibTeX]
[DOI]
Katrin Schöttle
,
Ralf Werner
,
Rudi Zagst
Math. Methods Oper. Res., 2010

2008
Integrated portfolio management with options.
[BibTeX]
[DOI]
Gerhard Scheuenstuhl
,
Rudi Zagst
Eur. J. Oper. Res., 2008

2003
Portfolio Optimization Under Credit Risk.
[BibTeX]
[DOI]
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.
[BibTeX]
[DOI]
Rudi Zagst
Math. Methods Oper. Res., 1995

1994
Monotonicity and bounds for convex stochastic control models.
[BibTeX]
[DOI]
Ulrich Rieder
,
Rudi Zagst
Math. Methods Oper. Res., 1994


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