| Publication | Date of Publication | Type |
|---|
Conditional correlation via generalized random forests with application to hedge funds
SN Operations Research Forum | 2025-09-30 | Paper |
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Annals of Operations Research | 2025-05-15 | Paper |
A new type of CEV model: properties, comparison, and application to portfolio optimization
Stochastic Models | 2025-02-03 | Paper |
Optimal consumption and investment in general affine GARCH models
OR Spectrum | 2024-10-09 | Paper |
The power of derivatives in portfolio optimization under affine GARCH models
Decisions in Economics and Finance | 2024-08-01 | Paper |
The mean-reverting 4/2 stochastic volatility model: properties and financial applications
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model
Quantitative Finance | 2024-04-12 | Paper |
Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies
Decisions in Economics and Finance | 2023-11-17 | Paper |
Correction to: ``Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies''
Decisions in Economics and Finance | 2023-11-17 | Paper |
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
Quantitative Finance | 2023-06-20 | Paper |
Robust portfolio choice under the 4/2 stochastic volatility model
IMA Journal of Management Mathematics | 2023-02-14 | Paper |
Expected utility theory on general affine GARCH models
Applied Mathematical Finance | 2022-10-18 | Paper |
A dynamic programming approach to path-dependent constrained portfolios
Annals of Operations Research | 2022-08-01 | Paper |
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Optimal HARA investments with terminal VaR constraints
Advances in Operations Research | 2022-07-13 | Paper |
International portfolio choice under multi-factor stochastic volatility
Quantitative Finance | 2022-05-27 | Paper |
Portfolio optimization with wealth-dependent risk constraints
Scandinavian Actuarial Journal | 2022-05-05 | Paper |
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Mathematical Methods of Operations Research | 2022-04-08 | Paper |
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.
Applied Mathematics and Computation | 2022-01-27 | Paper |
Model uncertainty on commodity portfolios, the role of convenience yield
Annals of Finance | 2022-01-10 | Paper |
Option pricing with conditional GARCH models
European Journal of Operational Research | 2021-06-03 | Paper |
Behavioral portfolio choice under hyperbolic absolute risk aversion
International Journal of Theoretical and Applied Finance | 2021-03-16 | Paper |
Optimal insurance contracts under distortion risk measures with ambiguity aversion
ASTIN Bulletin | 2020-08-31 | Paper |
Dynamic portfolio strategies under a fully correlated jump-diffusion process
Annals of Finance | 2019-11-07 | Paper |
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
Metrika | 2013-02-21 | Paper |
