3 papers
q-fin.PM2021
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…
q-fin.MF2019
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…
q-fin.PM2013
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…