Marcos Escobar Anel

Available identifiers

zbMath Open escobar-anel.marcosMaRDI QIDQ1938496

List of research outcomes

Publication	Date of Publication	Type
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model	2024-04-12	Paper
Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies	2023-11-17	Paper
Correction to: ``Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies	2023-11-17	Paper
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	2023-06-20	Paper
Robust portfolio choice under the 4/2 stochastic volatility model	2023-02-14	Paper
Expected Utility Theory on General Affine GARCH Models	2022-10-18	Paper
A dynamic programming approach to path-dependent constrained portfolios	2022-08-01	Paper
Decrease of capital guarantees in life insurance products: can reinsurance stop it?	2022-07-15	Paper
Optimal HARA investments with terminal VaR constraints	2022-07-13	Paper
International portfolio choice under multi-factor stochastic volatility	2022-05-27	Paper
Portfolio optimization with wealth-dependent risk constraints	2022-05-05	Paper
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation	2022-04-08	Paper
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.	2022-01-27	Paper
Model uncertainty on commodity portfolios, the role of convenience yield	2022-01-10	Paper
Option pricing with conditional GARCH models	2021-06-03	Paper
BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION	2021-03-16	Paper
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION	2020-08-31	Paper
Dynamic portfolio strategies under a fully correlated jump-diffusion process	2019-11-07	Paper
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications	2013-02-21	Paper

Research outcomes over time

Doctoral students

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