Picture of Rudi Zagst

Prof. Dr. Rudi Zagst

Technical University of Munich

Chair of Mathematical Finance (Prof. Zagst)

Postal address

Postal:
Parkring 11-13
85748 Garching b. München

 

 

Short CV

Rudi Zagst studied business mathematics at the University of Ulm. After his dissertation in the field of stochastic dynamic optimization, he started his professional career at HypoVereinsbank AG. There, he worked as Head of Product Development in the Institutional Investment Management before transferring to Allfonds International Asset Management GmbH as Head of Consulting and finally becoming Managing Director of RiskLab GmbH - Private Research Institute for Financial Studies in 1997.

Since 1992 Prof. Zagst has held various teaching positions at the Universities of Ulm, St. Gallen Augsburg, Munich, Toronto, Ulm, and Singapore. After his qualification as a university lecturer at the University of Ulm in 2000, Prof. Zagst was appointed a Professor of Mathematical Finance at Technische Universität München (TUM) in 2001 where he is Director of the Center of Mathematics and Head of the Chair of Mathematical Finance.

Prof. Zagst was also appointed a member of the Faculty for Economics in 2003. In 2004 he was appointed Deputy Chairman of the joint Elite graduate program "Finance & Information Management" of the Augsburg University and TUM and has also been a member of the steering committee of the Munich Chapter of the Professional Risk Managers' International Association (PRMIA) since 2004. The main focus of his research lies in the areas of financial engineering as well as risk and asset management.

In 2007, Prof. Zagst was awarded “Professor of the Year 2007” by the magazine Unicum Beruf for linking practice and education in an outstanding way.

  

Courses

    

Books

2016

Glau, K.; Grbac, Z. Scherer, M.; Zagst, R. (Eds.)
Innovations in Derivatives Markets
Springer, 449 pages

2015

Glau, K.; Scherer, M.; Zagst, R. (Eds.)
Innovations in Quantitative Risk Management
Springer, 438 pages

2010

Kiesel, R.; Scherer, M.; Zagst, R. (Eds.)
Alternative Investments and Strategies
World Scientific, Singapore, 416 pages

Zagst, R.; Krimm, T.; Hörter, S.; Menzinger, B.
Responsible Investing
Finanzbuchverlag, Munich, 360 pages

2009

Zagst, R.; Goldbrunner, J.; Schlosser, A.
Zu nahe an der Sonne - Die größten Pleiten der Finanzgeschichte
Finanzbuchverlag, Munich, 896 pages

Zagst, R.; Huber, M.
Zertifikate spielend beherrschen
Finanzbuchverlag, Munich, 239 pages

2002

Zagst, R.
Interest Rate Management
Springer Finance, Springer Verlag, Heidelberg, 341 pages

1992

Zagst, R.
Blackwell-Informativität in stochastischen Kontrollmodellen (Dissertation)
Universitätsverlag Ulm, 111 pages

  

Publications in Journals

2017

  • Denk, K.; Djerroud, B.; Seco, L.; Shakourifar, M.; Zagst, R.: Option-Like Properties in the Distribution of Hedge Fund Returns. submitted for publication, 2017 more…
  • Escobar, M.; Mahlstedt, M.; Panz, S.; Zagst, R.: Vulnerable Exotic Derivatives. Journal of Derivatives (24/3), 2017, 84-102 more…
  • Lichtenstern, A., Escobar, M., Zagst, R.: Behavioral Finance driven Investment Strategies. submitted for publication, 2017 more…
  • Zagst, R; Zou, B.: Optimal investment with transaction costs under cumulative prospect theory in discrete time. Mathematics and Financial Economics, accepted for publication, 2017 more…

2016

  • Bienek, T.; Wahl, M.; Zagst, R.: Optimierung in stetiger Zeit – Dynamische Portfoliooptimierung. RISIKO MANAGER (6), 2016, 32-36 more…
  • Escobar, M.; Krause, D.; Zagst, R.: Stochastic Covariance and Dimension Reduction in the Pricing of Basket Options. Review of Derivatives Research 19 (3), 2016, 165-200 more…
  • Escobar, M.; Krayzler, M.; Ramsauer, F.; Saunders, D.; Zagst, R.: Incorporation of stochastic policyholder behaviour in analytical pricing of GMABs and GMDBs. Risks, accepted for publication, 2016, - more…
  • Escobar, M.; Neykova, D.; Zagst, R.: HARA Utility Maximization in a Markov-Switching Bond-Stock Market. Quantitative Finance, accepted for publication, 2016 more…
  • Krayzler, M.; Zagst, R.; Brunner, B.: Closed-form solutions for Guaranteed Minimum Accumulation Benefits. European Actuarial Journal 6 (1), 2016, 197-231 more…
  • Mahlstedt, M; Zagst, R.: Inflation protected investment strategies. Risks (4/2), 2016, 1-21 more…
  • Reuß, A.; Olivares, P.; Seco, L.; Zagst, R.: Risk Management and Portfolio Selection using α-stable Regime Switching Models. Applied Mathematical Sciences (10/12), 2016, 549 - 582 more…

2015

  • Escobar, M.; Götz, B., Neykova, D.; Zagst, R.: Pricing two-asset Barrier Options under Stochastic Correlation via Perturbation. International Journal of Theoretical and Applied Finance 18 (3), 2015, 1-44 more…
  • Escobar, M.; Neykova, D.; Zagst, R.: Portfolio Optimization in Affine Models with Markov Switching. International Journal of Theoretical and Applied Finance 18 (5), 2015, 1-46 more…
  • Escobar, M.; Neykova, D.; Zagst, R.: Optimal Investment in Multidimensional Markov-modulated Affine Models: Theory and Examples. Annals of Finance (11/3), 2015, 503-530 more…
  • Escobar, M.; Panz, S.; Zagst, R.: Pricing multiple barrier derivatives under stochastic volatility. Working Paper, 2015 more…
  • Steinrücke, L.; Swishchuk, A.; Zagst, R.: The Markov-switching Jump Diffusion LIBOR Market Model. Quantitative Finance 15 (3), 2015, 455-476 more…

2014

  • Artinger, H.; Krayzler, M.; Zagst, R.: Longevity Risk Assessment for Defined-Benefit Pension Plans. Insitutional Investors Journals, Special Issues (2014/1), 2014, 88-98 more…
  • Bi, M.; Escobar, M.; Goetz, B.; Zagst, R.: Principal Component Models with Stochastic Mean-Reverting levels. Pricing and Covariance surface improvements. Applied Stochastic Models in Business and Industry, 2014 more…
  • Escobar, M.; Götz, B.; Neykova, D.; Zagst, R.: Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory. Applied Mathematical Finance (21/ 6), 2014, 555-594 more…
  • Escobar, M.; Götz, B.; Zagst, R.: Closed form pricing of two-asset barrier options with stochastic covariance. Applied Mathematical Finance 21 (4), 2014, 363-397 more…
  • Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R.: Forecasting market turbulences using regime-switching models. Financial Markets and Portfolio Management 28 (2), 2014, 139-164 more…
  • Hauptmann, J.; Olivares, P.; Zagst, R.: Estimation of Risk Measures for Large Credit Portfolios. Journal of Credit Risk 10 (2), 2014, 3-37 more…
  • Hross, S.; Olivares, P.; Zagst, R.: Tail Approximations in Credit Portfolios using Large Deviations Techniques. Applied Mathematical Sciences 8 (22), 2014, 1071-1098 more…
  • Leonhardt, D.; Ware, A.; Zagst, R.: A cointegrated regime-switching model approach with jumps for commodity futures prices. working paper, 2014 more…

2013

  • Bernhardt, E.; Kolbe, A.; Zagst, R.: Optimal Portfolios with Mortgage-Backed Securities. Journal of Real Estate Portfolio Management 19 (2), 2013, 121-136 more…
  • Dirnstorfer, S.; Grau, A.; Zagst, R.: Moving Window Asian Options: Sparse Grids and Least-Squares Monte Carlo. Open Journal of Statistics (OJS) 3 (6), 2013, 427-440 more…
  • Escobar, M.; Friederich, T.; Seco, L.; Zagst, R.: Multi-Dimensional Structural Credit Modeling under Stochastic Volatility. ISRN Probability and Statistics, 2013, - more…
  • Escobar, M.; Mitterreiter, M.; Saunders, D.; Seco, L.; Zagst, R.: Market Crises and the 1/N Asset-Allocation Strategy. The Journal of Investment Strategies 2 (4), 2013, 1-23 more…
  • Escobar, M.; Rudolph, B.; Zagst, R.: Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions. Transactions on Mathematical Software, accepted for publication, 2013, - more…
  • Krayzler, M.; Rauch, J.; Zagst, R.: Pricing of Derivatives on Commodity Indices. International Review of Financial Analysis 29, 2013, 143 - 151 more…
  • Saunders, D.; Seco, L.; Vogt, C.; Zagst, R.: A Fund of Hedge Funds under Regime Switching. The Journal of Alternative Investments 15 (4), 2013, 8-23 more…
  • Schlösser, A.; Zagst, R.: The Crash-NIG-Factor Copula Model: Modeling dependence in Credit Portfolios through the Crisis. European Actuarial Journal 3, 2013, 407-438 more…

2012

  • Aigner, P.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R.: Modeling and Managing Portfolios including Listed Private Equity. Journal of Computers and Operations Research 39 (4), 2012, 753 - 764 more…
  • Escobar, M.; Friederich, T.; Krayzler, M.; Seco, L.; Zagst, R.: Structural Credit Modeling under Stochastic Volatility. International Journal of Statistics and Probability 1 (1), 2012, 20 - 35 more…
  • Escobar, M.; Frielingsdorf, T.; Zagst, R.: Impact of Factor Models on Portfolio Risk Measures: A Structural Approach. Journal of Credit Risk 8 (2), 2012, 47-79 more…
  • Escobar, M.; Götz, B.; Zagst, R.: Two Asset-Barrier Option under Stochastic Volatility. working paper, 2012, - more…
  • Friederich, T.; Kraus, C.; Zagst, R.: ILLIX – A New Index for Quantifying Illiquidity. Journal of Financial Transformation 34, 2012, 183-193 more…
  • Swishchuk, A.; Zagst, R.: Levy-Based Heath-Jarrow-Morton Interest Rate Derivatives: Change of Time Method and PIDEs. International Journal of Differential Equations and Applications 11 (1), 2012, 1-25 more…

2011

  • Bernhart, G.; Höcht, S.; Neugebauer, M.; Neumann, M.; Zagst, R.: Asset Correlations in Turbulent Markets and their Implications on Asset Management. Asia-Pacific Journal of Operational Research 28 (1), 2011, 1-23 more…
  • Braun, R.; Engel, N.; Hieber, P.; Zagst, R.: The Risk Appetite of Private Equity Sponsors. Journal of Empirical Finance 18 (5), 2011, 815–832 more…
  • Escobar, M.; Friederich, T.; Krayzler, M.; Seco, L.; Zagst, R.: An Intensity-based Approach for Equity Modeling. Applied Stochastic Models in Business and Industry 27 (6), 2011, 676-690 more…
  • Escobar, M.; Friederich, T.; Seco, L.; Zagst, R.: A General Structural Approach for Credit Modeling under Stochastic Volatility. Journal of Financial Transformation 32, 2011, 123-132 more…
  • Escobar, M.; Kiechle, A.; Seco, L.; Zagst, R.: Options on a CPPI Portfolio. International Mathematical Forum 6 (5), 2011, 229-262 more…
  • Kraus, J.; Bertrand, P.; Zagst, R.: Theory of Performance Participation Strategies. working paper, 2011, - more…
  • Schlösser, A.; Zagst, R.: The Crash-NIG-Factor Copula Model: Risk Management of Credit Portfolios. Journal of Risk Management in Financial Institutions 4 (4), 2011, 392-418 more…
  • Zagst, R.; Kraus, J.: Stochastic Dominance of Portfolio Insurance Strategies - OBPI versus CPPI. Annals of Operations Research 185 (1), 2011, 75-103 more…

2010

  • Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R.: Portfoliooptimierung in sich ändernden Marktphasen. Absolut|report 9 (6), 2010, 30-39 more…
  • Escobar, M.; Götz, B.; Seco, L.; Zagst, R.: Pricing of a CDO on Stochastically Correlated Underlyings. Quantitative Finance 10 (3), 2010, 265-277 more…
  • Hofert, M.; Scherer, M.; Zagst, R.: Modeling the Evolution of Implied CDO Correlations. Financial Markets and Portfolio Management 24 (3), 2010, 289-308 more…
  • Höcht, S.; Zagst, R.: Pricing Credit Derivatives under Stochastic Recovery in a Hybrid Model. Applied Stochastic Models in Business and Industry 26, 2010, 254-276 more…
  • Höcht, S.; Zagst, R.: Pricing Distressed CDOs with Stochastic Recovery. Review of Derivatives Research 13 (3), 2010, 219-244 more…
  • Kolbe, A.; Zagst, R.: Valuation of Reverse Mortgages under (limited) Default Risk. European Journal of Finance 16 (4), 2010, 305-327 more…
  • Schöttle, K.; Werner, R.; Zagst, R.: Comparison and Robustification of Bayes and Black-Litterman Models. Mathematical Methods of Operations Research 71 (3), 2010, 453-475 more…
  • Schöttle, K.; Werner, R.; Zagst,R.: Robustification of Bayesian Portfolio Allocation. Rethinking Risk Measurement and Reporting, 2010, 829-854 more…

2009

  • Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R.: Portfolio Selection under Changing Market Conditions. International Journal of Financial Services Management 4 (1), 2009, 48-63 more…
  • Escobar, M.; A., Kiechle; L., Seco; Zagst, R.: The Price of Liquidity in Constant Leverage Strategies. RACSAM 103 (2), 2009, 373-385 more…
  • Escobar, M.; Götz, B.; Seco, L.; Zagst, R.: Pricing of Spread Options on Stochastically Correlated Underlyings. The Journal of Computational Finance 12 (3), 2009, 31-61 more…
  • Höcht, S.; Ng, K.H.; Wiesent, J.; Zagst, R.: Fit for Leverage - Modelling of Hedge Fund Returns in View of Risk Management Purposes. International Journal of Contemporary Mathematical Sciences 4 (19), 2009, 895-916 more…
  • Kolbe, A.; Zagst, R.: Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation. Applied Mathematical Finance 16 (5), 2009, 401-427 more…
  • Schmid, B.; Zagst, R; Antes, S; el Moufatich, F.: Modeling and Pricing of Credit Derivatives Using Macro-Economic Information. Journal of Financial Transformation 26, 2009, 60-68 more…

2008

  • Aigner, P.; Albrecht, S.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R.: What Drives PE? Analyses of Success Factors for Private Equity Funds. Journal of Private Equity 11 (4), 2008, 63-85 more…
  • Antes, S.; Ilg, M.; Schmid, B.; Zagst, R.: Empirical Evaluation of Hybrid Defaultable Bond Pricing Models. Applied Mathematical Finance 15 (3), 2008, 219-249 more…
  • Höcht, S.; Kroneberg, A.; Zagst, R.: Explaining Aggregated Recovery Rates. working paper, 2008, - more…
  • Höcht, S.; Ng, K.H.; Roesch, C.; Zagst, R.: Asset Liability Managment in Financial Planning. The Journal of Wealth Management 11 (2), 2008, 29-46 more…
  • Höcht, S.; Ng, K.H.; Wolf, J.; Zagst, R.: Optimal Portfolio Allocation with Asian Hedge Funds and Asian Reits. International Journal of Service Sciences 1 (1), 2008, 36-68 more…
  • Höcht, S.; Zagst, R.: Loan Recovery Determinants: A Pan-European Study. working paper, 2008, - more…
  • Kolbe, A.; Zagst, R.: A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities. International Journal of Theoretical and Applied Finance 11 (6), 2008, 635-656 more…
  • Poeschik, M.; Zagst, R.: Inverse Portfolio Optimization under Constraints. The Journal of Asset Management 9 (3), 2008, 239-253 more…
  • Scheuenstuhl, G.; Zagst, R.: Integrated Portfolio Management with Options. European Journal of Operations Research 185 (3), 2008, 1477-1500 more…
  • Zagst, R.: Asset Liability Management: Integration oder Diversifikation? Portfolio Institutionell 4, 2008, 20-22 more…

2007

  • Höcht, S.; Zagst, R.: Generalized Maximum Expected Utility Models for Default Risk - A Comparison of Models with Different Dependence Structures. Journal of Credit Risk 3 (3), 2007, 3-24 more…
  • Kalin, D.; Zagst, R.: Portfolio Optimization Under Liquidity Cost. International Journal of Pure and Applied Mathematics 39 (2), 2007, 221-238 more…
  • Zagst, R.; Meyer, T.; Hagedorn, H.: Integrated Modelling of Stock and Bond Markets. International Journal of Finance 19 (1), 2007, 4252-4277 more…

2006

  • Gong, X.; Huber, M.; Lanzinner, S.; Zagst, R.: Zertifikate - Mehrwert für Privatanleger? Zeitschrift für das gesamte Kreditwesen 59 (22), 2006, 1235-1239 more…

2004

  • Zagst, R.; Roth, J.: Three-Factor Defaultable Term Structure Models. International Journal of Pure and Applied Mathematics 17 (2), 2004, 249-285 more…

2003

  • Zagst, R.; Kehrbaum, J.; Schmid, B.: Portfolio Optimization Under Credit Risk. Computational Statistics 18 (3), 2003, 317-338 more…

2002

  • Zagst, R.: Using Scenario Analysis for Risk Management. Journal of the German Statistical Society (AStA) 86, 2002, 97-117 more…

2001

  • Zagst, R.: Public Private Partnership: Zwei Welten - ein Ziel. Stiftung Sponsoring 5 (1), 2001, 37-38 more…
  • Zagst, R.; Kehrbaum, J.; Schmid, B.: Asset und Liability Management unter Berücksichtigung von Kreditrisiken. Solutions 5 (2), 2001, 17-22 more…

2000

  • Schmid, B.; Zagst, R.: A Three-Factor Defaultable Term Structure Model. The Journal of Fixed Income 10 (2), 2000, 63-79 more…

1999

  • Kalin, D.; Zagst, R.: Portfolio Optimization: Volatility versus Shortfall Constraints. OR Spektrum 21 (1/2), 1999, 97-122 more…
  • Zagst, R.: Stochastische Optimierung. Solutions 1 (3), 1999, 17-24 more…

1998

  • Mayer, S.; Zagst, R.: Hedging Barrier Options with Standard Products. risklab research paper No. 9805, 1998, - more…
  • Zagst, R.: Benchmark Optimization for Complex Interest-Rate Portfolios. risklab research paper No. 9801, 1998, - more…
  • Zagst, R.: Do You Regret? Asset Allocation bei beschränktem erwarteten Verlustpotential. Solutions 2 (2), 1998, 7-14 more…
  • Zagst, R.; Kehrbaum, J.: Portfolio Optimization Under Limited Value at Risk. risklab research paper No. 9802, 1998, - more…

1997

  • Zagst, R.: Value at Risk (VaR): Viele Wege führen ans Ziel. Teil 2: Methoden mit approximativer Bewertung. Solutions 1 (2), 1997, 13-21 more…
  • Zagst, R.: Effiziente Value at Risk Berechnung für Rentenportfolios. Finanzmarkt und Portfolio Management 11 (2), 1997, 165-178 more…
  • Zagst, R.; Gopalan, G.; Schmid, W.: Estimation of the Term Structure and its Application to Risk Management. Discussion Paper No. 103, Europa-Universität VIADRINA, Frankfurt (Oder), Fakultät für Wirtschaftswissenschaften, 1997, - more…
  • Zagst, R.; Kehrbaum, J.: Value at Risk (VaR): Viele Wege führen ans Ziel. Teil 1: Methoden mit vollständiger Bewertung. Solutions 1 (1), 1997, 11-16 more…
  • Zagst, R.; Kehrbaum, J.: Downside Up: Optimierung komplexer Zinsportfolios bei beschränktem Verlustpotential. Solutions 1 (3/4), 1997, 13-22 more…

1996

  • Zagst, R.; Hermann, F.; Schmid, W.: Univariate und bivariate GARCH-Modelle zur Schätzung des Beta-Faktors. Finanzmarkt und Portfolio Management 10 (1), 1996, 45-52 more…

1995

  • Nonnenmacher, D., F., J.; Zagst, R.: A New Form of Jensen's Inequality and its Application to Statistical Experiments. Journal of the Australian Mathematical Society, Series B 36 (4), 1995, 389-398 more…
  • Zagst, R.: The Effect of Information in Separable Bayesian Semi-Markov Control Models and its Application to Investment Planning. Mathematical Methods of Operations Research 41 (3), 1995, 277-288 more…

1994

  • Rieder, U.; Zagst, R.: Monotonocity and Bounds for Convex Stochastic Control Models. ZOR - Methods and Models of Operations Research 39 (2), 1994, 187-207 more…

1990

  • Zagst, R.: Learning Effects in Economic Models Under Uncertainty. Methods and Models of Operations Research 63, 1990, 115-118 more…

   

Book Contributions and Conference Proceedings

2014

  • Steinrücke, L.; Swishchuk, A.; Zagst, R.: The LIBOR Market Model: A Markov-switching Jump Diffusion Extension. In: Elliot, R.; Mamon, R. (Ed.): Hidden Markov Models in Finance: Further Developments and Applications. Springer US, 2014, 85-116 more…

2012

  • Mai, J.-F.; Scherer, M; Zagst, R.: CIID Default Models and Implied Copulas. In: Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012. Springer Verlag, 2012, 201-230 more…
  • Zagst, R.: Mehrstufige Konsum- und Investmentplanung. In: Frick R., P. Gantenbein and P. Reichling (Ed.): Asset Management. Haupt-Verlag, 2012, 133-143 more…

2011

  • Hauptmann, J.; Zagst, R.: Systemic Risk. In: Quantitative Financial Risk Management. Springer-Verlag, Berlin, 2011, - more…

2010

  • Aigner, P.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R.: Listed Private Equity in a Portfolio Context. In: Kiesel, R.; Scherer, M.; Zagst, R. (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, 21-49 more…
  • Escobar, M.; Götz, B.; Zagst, R.: Pricing Certificates under Issuer Risk. In: Kiesel, R.; Scherer, M.; Zagst, R. (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, 123-146 more…
  • Escobar, M.; Krämer, S.; Scheibl, F.; Seco, L.; Zagst, R.: Hedge Funds as Knock-out Options. In: Menéndez, S.C.; F Pérez, J.L. (Ed.): Contemporary Mathematics (Mathematics in Finance), Vol.515. American Mathematical Society, 2010, 1-15 more…
  • Hross, S.; Vogt, C.; Zagst, R.: Socially Responsible Investments. In: Kiesel, R.; Scherer, M.; Zagst, R. (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, 3-20 more…
  • Menzinger, B.; Schloesser, A.; Zagst, R.: Asset Allocation with Credit Instruments. In: Kiesel R., M. Scherer, and R. Zagst (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, - more…
  • Scherer, M.; Zagst, R.: Jarrow-Lando-Turnbull model. In: Cont, R. (Ed.): Encyclopedia of Quantitative Finance. Wiley, 2010, 985-987 more…
  • Scherer, M.; Zagst, R.: Modeling and pricing credit derivatives. In: Menéndez, S.C.; F Pérez, J.L. (Ed.): Contemporary Mathematics (Mathematics in Finance). American Mathematical Society, 2010, 111-146 more…

2008

  • Schmitt, C.; Zagst, R.: VaR and Risk Measures. In: Melnick, E.; Everitt, B. (Ed.): Encyclopedia of Quantitative Risk Assessment and Analysis. John Wiley, Chichester, UK, 2008, 1823-1830 more…

2007

  • Ng, K.H.; Zagst, R.; Höcht, S.; Wolf, J.: Optimal Portfolio Allocation with Asian Hedge Funds and Asian Reits. In: International Conference on Management Innovation. Universe Academic Press, 2007, - more…

2004

  • Garschhammer, C.; Zagst, R.: Ein stochastisches Modell zur Ertragsoptimerung bei Versicherungen. In: Spremann, K. (Ed.): Versicherung im Umbruch - Werte schaffen, Risiken managen, Kunden gewinnen. Springer Verlag, Heidelberg, 2004, 415-442 more…

2000

  • Scheuenstuhl, G.; Zagst, R.: Portfoliosteuerung bei beschränktem Verlustrisiko. In: Johanning, L.; Rudolph, B. (Ed.): Handbuch Risiko Management. Uhlenbruch Verlag, 2000, Band 1, 941-972 more…

1997

  • Scheuenstuhl, G.; Zagst, R.: Asymmetrische Renditestrukturen und ihre Optimierung im Portfolio Management mit Optionen. In: Kutscher, C.; Schwarz, G. (Ed.): Aktives Portfolio Management. Verlag Neue Züricher Zeitung, Zürich, 1997, 153-174 more…
  • Zagst, R.: Modernes Risikomanagement komplexer Rentenportfolios. In: Kleeberg, J.M.; Rehkugler, H. (Ed.): Handbuch Portfolio Management. Uhlenbruch Verlag, Bad Soden, 1997, 743-774 more…

1996

  • Scheuenstuhl, G.; Zagst, R.: Optimal Optioned Portfolios with Confidence Limits on Shortfall Constraints. In: Albrecht, P. (Ed.): Aktuarielle Ansätze für Finanzrisiken, Vol. II. Verlag Versicherungswirtschaft, 1996, 1497-1517 more…