Rudi Zagst
Rudi Zagst
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Cited by
Cited by
Interest rate management
R Zagst
Springer, 2002
Stochastic dominance of portfolio insurance strategies
R Zagst, J Kraus
Annals of Operations Research 185 (1), 75-103, 2011
Pricing distressed CDOs with stochastic recovery
S Höcht, R Zagst
Review of Derivatives Research 13 (3), 219-244, 2010
What drives PE? Analyses of success factors for private equity funds
P Aigner, S Albrecht, G Beyschlag, TIM Friederich, M Kalepky, R Zagst
The Journal of Private Equity 11 (4), 63-85, 2008
Forecasting market turbulence using regime-switching models
J Hauptmann, A Hoppenkamps, A Min, F Ramsauer, R Zagst
Financial Markets and Portfolio Management 28 (2), 139-164, 2014
Comparison and robustification of Bayes and Black-Litterman models
K Schöttle, R Werner, R Zagst
Mathematical Methods of Operations Research 71 (3), 453-475, 2010
Portfolio optimization: volatility constraints versus shortfall constraints
D Kalin, R Zagst
OR-Spektrum 21 (1), 97-122, 1999
Pricing a CDO on stochastically correlated underlyings
M Escobar, B Götz, L Seco, R Zagst
Quantitative Finance 10 (3), 265-277, 2010
Asset correlations in turbulent markets and the impact of different regimes on asset management
G Bernhart, S Höcht, M Neugebauer, M Neumann, R Zagst
Asia-Pacific Journal of Operational Research 28 (01), 1-23, 2011
A three-factor defaultable term structure model
B Schmid, R Zagst
The Journal of Fixed Income 10 (2), 63-79, 2000
A hybrid-form model for the prepayment-risk-neutral valuation of mortgage-backed securities
A Kolbe, R Zagst
International Journal of Theoretical and Applied Finance 11 (06), 635-656, 2008
CIID frailty models and implied copulas
JF Mai, M Scherer, R Zagst
Copulae in Mathematical and Quantitative Finance, 201-230, 2013
Monotonicity and bounds for convex stochastic control models
U Rieder, R Zagst
Zeitschrift für Operations Research 39 (2), 187-207, 1994
Forecasting turbulence in the Asian and European stock market using regime-switching models
J Engel, M Wahl, R Zagst
Quantitative Finance and Economics 2 (2), 388-406, 2018
Integrated portfolio management with options
G Scheuenstuhl, R Zagst
European Journal of Operational Research 185 (3), 1477-1500, 2008
Optimal portfolio allocation with Asian hedge funds and Asian REITs
S Hocht, KH Ng, J Wolf, R Zagst
International Journal of Services Sciences 1 (1), 36-68, 2008
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
V Bergen, M Escobar, A Rubtsov, R Zagst
Quantitative Finance 18 (8), 1265-1294, 2018
Portfolio optimization in affine models with Markov switching
M Escobar, D Neykova, R Zagst
International Journal of Theoretical and Applied Finance 18 (05), 1550030, 2015
Modeling and managing portfolios including listed private equity
P Aigner, G Beyschlag, T Friederich, M Kalepky, R Zagst
Computers & Operations Research 39 (4), 753-764, 2012
Pricing of spread options on stochastically correlated underlyings
M Escobar, B Götz, L Seco, R Zagst
The Journal of Computational Finance 12 (3), 31, 2009
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