2023
- Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model. Working Paper, submitted for publication, 2023 mehr…
- COVIX - An Index Allowing to Assess the Pandemic Situation Based on Infections and Hospitalization Data. Applied Sciences, Vol. 13, No. 7, 4554, 2023 mehr…
2022
- Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics. working paper submitted for publication, 2022 mehr…
- Portfolio Optimization: Not Necessarily Concave Utility and Constraints on Wealth and Allocation. Mathematical Methods of Operations Research, 2022, 1-40 mehr…
- Decrease of capital guarantees in life insurance products: can reinsurance stop it? Insurance: Mathematics and Economics Vol. 105, 14-40 (Insurance: Mathematics and Economics), 2022 mehr…