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Antes, S., F. El Moutafich, B. Schmid and R. Zagst (2009):
Modeling and pricing of credit derivatives using macroeconomic information
| Abstract |
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Bernhart, G., S. Höcht, M. Neugebauer, M. Neumann and R. Zagst (2009):
Asset correlations in turbulent markets and their implications on asset management
| Abstract |
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Ernst, C., M. Grossmann, S. Höcht, S. Minden, M. Scherer and R. Zagst (2009):
Portfolio selection under changing market conditions
| Abstract |
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Escobar, M., B. Goetz, L. Seco and R. Zagst (2009):
Pricing of Spread Options on Stochastically Correlated Underlyings
| Abstract |
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Escobar, M., Kiechle, A., Seco, L. and R. Zagst (2009):
The Price of Liquidity in Constant Leverage Strategies
| Abstract |
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Höcht, S., K.H. Ng, J. Wiesent and R. Zagst (2009):
Fit for Leverage - Modelling of Hedge Fund Returns in View of Risk Management Purposes
| Abstract |
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Höcht, S. and R. Zagst (2009):
Pricing Credit Derivatives under Stochastic Recovery in a Hybrid Model
| Abstract |
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Höcht, S. and R. Zagst (2009):
Pricing Distressed CDOs with Stochastic Recovery
| Abstract |
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Kolbe, A. and R. Zagst (2009):
Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation
| Abstract |
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Kolbe, A. and R. Zagst (2009):
Valuation of Reverse Mortgages under (limited) Default Risk
| Abstract |
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Scherer, M. and R. Zagst (2009):
Jarrow-Lando-Turnbull model
| Abstract |
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Schlösser, A. and R. Zagst (2009):
Crash-NIG copula model: regime-switching credit portfolio modeling through the crisis
| Abstract |
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Aigner, P., S. Albrecht, G. Beyschlag, T. Friederich, M. Kalepky and R. Zagst (2008):
What Drives PE? Analyses of Success Factors for Private Equity Funds
| Abstract |
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Aigner, P., G. Beyschlag, T. Friederich, M. Kalepky and R. Zagst (2008):
Optimal Risk-Return Profiles for Portfolios including Stocks, Bonds, and Listed Private Equity
| Abstract |
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Antes, S., M. Ilg, B. Schmid and R. Zagst (2008):
Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
| Abstract |
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Bernhardt, E., A. Kolbe and R. Zagst (2008):
Optimal Portfolios with Mortgage-Backed Securities
| Abstract |
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Escobar, M., B. Goetz, L. Seco and R. Zagst (2008):
Pricing of a CDO Option on Stochastically Correlated Underlyings
| Abstract |
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Höcht, S., K.H. Ng, C. Roesch and R. Zagst (2008):
Asset Liability Managment in Financial Planning
| Abstract |
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Höcht, S., K.H. Ng, J. Wolf and R. Zagst (2008):
Optimal Portfolio Allocation with Asian Hedge Funds and Asian Reits
| Abstract |
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Kolbe, A. and R. Zagst (2008):
A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities
| Abstract |
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Kraus, J. and R. Zagst (2008):
Stochastic Dominance of Portfolio Insurance Strategies
| Abstract |
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Poeschik, M. and R. Zagst (2008):
Inverse Portfolio Optimization under Constraints
| Abstract |
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Scherer, M. and R. Zagst (2008):
Modeling and pricing credit derivatives
| Abstract |
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Scheuenstuhl, G. and R. Zagst (2008):
Integrated Portfolio Management with Options
| Abstract |
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Schmitt, C. and R. Zagst (2008):
VaR and Risk Measures
| Abstract |
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Schöttle, K., R. Werner and R. Zagst (2008):
Comparison and robustification of Bayes and Black-Litterman models
| Abstract |
| |
Höcht, S. and R. Zagst (2007):
Generalized Maximum Expected Utility Models for Default Risk - A Comparison of Models with Different Dependence Structures
| Abstract |
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Kalemanova, A., B. Mayer and R. Zagst (2007):
Asset Allocation with Credit Instruments
| Abstract |
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Kalin, D. and R. Zagst (2007):
Portfolio Optimization Under Liquidity Cost
| Abstract |
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Zagst, R., T. Meyer and H. Hagedorn (2007):
Integrated Modelling of Stock and Bond Markets
| Abstract |
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Dirnstorfer, S., A. Grau and R. Zagst (2006):
Moving Window Asian Options: Sparse Grids and Least-Squares Monte Carlo
| Abstract |
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Gong, X., M. Huber, S. Lanzinner and R. Zagst (2006):
Zertifikate - Mehrwert für Privatanleger?
| Abstract |
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Schmid, B., R. Zagst and S. Antes (2006):
Pricing of Credit Derivatives
| Abstract |
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Garschhammer, C. and R. Zagst (2004):
Ein stochastisches Modell zur Ertragsoptimerung bei Versicherungen
| Abstract |
| |
Zagst, R. and J. Roth (2004):
Three-Factor Defaultable Term Structure Models
| Abstract |
| |
Zagst, R., J. Kehrbaum and B. Schmid (2003):
Portfolio Optimization Under Credit Risk
| Abstract |
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Zagst, R. (2002):
Interest Rate Management
| Abstract |
| |
Zagst, R. (2002):
Using Scenario Analysis for Risk Management
| Abstract |
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Zagst, R. (2001):
Public Private Partnership: Zwei Welten - ein Ziel
| Abstract |
| |
Zagst, R., J. Kehrbaum and B. Schmid (2001):
Asset und Liability Management unter Berücksichtigung von Kreditrisiken
| Abstract |
| |
Scheuenstuhl, G. and R. Zagst (2000):
Portfoliosteuerung bei beschränktem Verlustrisiko
| Abstract |
| |
Schmid, B. and R. Zagst (2000):
A Three-Factor Defaultable Term Structure Model
| Abstract |
| |
Kalin, D. and R. Zagst (1999):
Portfolio Optimization: Volatility versus Shortfall Constraints
| Abstract |
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Zagst, R. (1999):
Stochastische Optimierung
| Abstract |
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Mayer, S. R. and R. Zagst (1998):
Hedging Barrier Options with Standard Products
| Abstract |
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Zagst, R. (1998):
Benchmark Optimization for Complex Interest-Rate Portfolios
| Abstract |
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Zagst, R. (1998):
Do You Regret? Asset Allocation bei beschränktem erwarteten Verlustpotential
| Abstract |
| |
Zagst, R. and J. Kehrbaum (1998):
Portfolio Optimization Under Limited Value at Risk
| Abstract |
| |
Scheuenstuhl, G. and R. Zagst (1997):
Asymmetrische Renditestrukturen und ihre Optimierung im Portfolio Management mit Optionen
| Abstract |
| |
Zagst, R. (1997):
Effiziente Value at Risk Berechnung für Rentenportfolios
| Abstract |
| |
Zagst, R. (1997):
Modernes Risikomanagement komplexer Rentenportfolios
| Abstract |
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Zagst, R. (1997):
Value at Risk (VaR): Viele Wege führen ans Ziel. Teil 1: Methoden mit vollständiger Bewertung
| Abstract |
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Zagst, R. (1997):
Value at Risk (VaR): Viele Wege führen ans Ziel. Teil 2: Methoden mit approximativer Bewertung
| Abstract |
| |
Zagst, R., G. Gopalan and W. Schmid (1997):
Estimation of the Term Structure and its Application to Risk Management
| Abstract |
| |
Zagst, R. and J. Kehrbaum (1997):
Downside Up: Optimierung komplexer Zinsportfolios bei beschränktem Verlustpotential
| Abstract |
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Scheuenstuhl, G. and R. Zagst (1996):
Optimal Optioned Portfolios with Confidence Limmits on Shortfall Constraints
| Abstract |
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Zagst, R., F. Hermann and W. Schmid (1996):
Univariate und bivariate GARCH-Modelle zur Schätzung des Beta-Faktors
| Abstract |
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Nonnenmacher, D. J. F. and R. Zagst (1995):
A New Form of Jensen's Inequality and its Application to Statistical Experiments
| Abstract |
| |
Zagst, R. (1995):
The Effect of Information in Separable Bayesian Semi-Markov Control Models and its Application to Investment Planning
| Abstract |
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Rieder, U. and R. Zagst (1994):
Monotonocity and Bounds for Convex Stochastic Control Models
| Abstract |
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Zagst, R. (1992):
Blackwell-Informativität in stochastischen Kontrollmodellen
| Abstract |
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Zagst, R. (1990):
Learning Effects in Economic Models Under Uncertainty
| Abstract |
