17 citations · 29 across the 11 of their papers we have counts for
12 papers
Data-Driven Duration Management -- Term Structure Forecasting Using Machine Learning
Tobias Lausser, Joao Eduardo Vuolo, Rudi Zagst
This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (…
Optimal fees in hedge funds with first-loss compensation
Marcos Escobar-Anel, Yevhen Havrylenko, Rudi Zagst
Hedge fund managers with the first-loss scheme charge a management fee, a performance fee and guarantee to cover a certain amount of investors' potential losses. We study how parti…
Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst
We consider a portfolio optimisation problem for a utility-maximising investor who faces convex constraints on his portfolio allocation in Heston's stochastic volatility model. We…
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics
Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst
We study the expected utility portfolio optimization problem in an incomplete financial market where the risky asset dynamics depend on stochastic factors and the portfolio allocat…
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Marcos Escobar-Anel, Yevhen Havrylenko, Rudi Zagst
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To…
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
Yevhen Havrylenko, Maria Hinken, Rudi Zagst
We study the optimal investment-reinsurance problem in the context of equity-linked insurance products. Such products often have a capital guarantee, which can motivate insurers to…
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Marcos Escobar-Anel, Yevhen Havrylenko, Michel Kschonnek +1
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products. Providing an insurer with an opportunity to shi…
Closed-form portfolio optimization under GARCH models
Marcos Escobar-Anel, Maximilian Gollart, Rudi Zagst
This paper develops the first closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant r…
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
Andreas Lichtenstern, Pavel V. Shevchenko, Rudi Zagst
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a…
Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time
Bin Zou, Rudi Zagst
We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with tra…
Portfolio Optimization in Affine Models with Markov Switching
Marcos Escobar, Daniela Neykova, Rudi Zagst
We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine s…
Theory of Performance Participation Strategies
Julia Kraus, Philippe Bertrand, Rudi Zagst
The purpose of this article is to introduce, analyze and compare two performance participation methods based on a portfolio consisting of two risky assets: Option-Based Performance…