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Short CV
In October 2015, Michel Kschonnek started his undergraduate studies in Mathematics at TUM and later joined the TopMath BSc-program under the supervision of Prof. Zagst in October 2017. During his studies, Michel spent an ERASMUS semester at the University of Bath and gained practical experience at Allianz and Deloitte, before finishing his undergraduate studies with a bachelor’s thesis titled “Dynamic Portfolio Optimization Methods: A Comparison “. Afterwards, he transitioned to the doctoral phase of the TopMath program and conducted a research semester at Western University, before returning in October 2019. Upon returning, he started to work part time for Zobel Values and took on a position at the chair of mathematical finance in February 2020.
Escobar M., Kschonnek M. and Zagst R.: Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model. Quantitative Finance, 2023, 1-21 more…
Kschonnek M., Dobrovolska I., Protzer U. and Zagst R.: COVIX - An Index Allowing to Assess the Pandemic Situation Based on Infections and Hospitalization Data. Applied Sciences, Vol. 13, No. 7, 4554, 2023 more…
2022
Escobar M., Kschonnek M. and Zagst R.: Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics. working paper submitted for publication, 2022 more…
Escobar M., Kschonnek M. and Zagst R.: Portfolio Optimization: Not Necessarily Concave Utility and Constraints on Wealth and Allocation. Mathematical Methods of Operations Research, 2022, 1-40 more…
Escobar M.; Havrylenko Y.; Kschonnek M.; Zagst R.: 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 more…
