Authors Info
Zagst, Rudi’ AUTHOR PAGE
Organizations:
E-Mail: zagst@risklab.de
Blog Path:
webpage:
Employer:
Company:
Affiliation: Sveriges Riksbank
About The Author
No Data!
Personal/Edited Documents List
Title

Publication

Date

Co-authors

Members with

this document

Download
Innovations in Quantitative Risk Management 2015
Scherer, Matthias
Zagst, Rudi
 
Discussed ?elds of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependen...
Portfolio Optimization Under Limited Value at Risk 1998
Zagst, Rudi
Kehrbaum, Jan
 
In this article the problem of optimizing portfolios under limited downside risk is examined. The portfolio's risk exposure is measured assuming t...
Effiziente Value at Risk Berechnung für Rentenportfolios 1997
Zagst, Rudi
 
In this article we introduce a method which uses the exact pricing formulas but leads to much quicker value at risk calculations for fixed-income port...
Value at Risk (VaR): Viele Wege führen ans Ziel 1997
Zagst, Rudi
 
The Value at Risk (VaR) series started in Issue 1, Spring 1997, with a description of the methods using complete evaluation. This issue will now prese...
Portfolio optimization: volatility constraints versus shortfall constraints 1999
Kalin, Dieter
Zagst, Rudi
 
In this paper we examine two models of portfolio optimization. Volatility (standard deviation) constraints as well as shortfall constraints are consid...
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile