Marcos Escobar Anel

From MaRDI portal
Person:1938496

Available identifiers

zbMath Open escobar-anel.marcosMaRDI QIDQ1938496

List of research outcomes





PublicationDate of PublicationType
Optimal consumption and investment in general affine GARCH models2024-10-09Paper
The power of derivatives in portfolio optimization under affine GARCH models2024-08-01Paper
The mean-reverting 4/2 stochastic volatility model: properties and financial applications2024-07-25Paper
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model2024-04-12Paper
Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies2023-11-17Paper
Correction to: ``Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies2023-11-17Paper
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions2023-06-20Paper
Robust portfolio choice under the 4/2 stochastic volatility model2023-02-14Paper
Expected utility theory on general affine GARCH models2022-10-18Paper
A dynamic programming approach to path-dependent constrained portfolios2022-08-01Paper
Decrease of capital guarantees in life insurance products: can reinsurance stop it?2022-07-15Paper
Optimal HARA investments with terminal VaR constraints2022-07-13Paper
International portfolio choice under multi-factor stochastic volatility2022-05-27Paper
Portfolio optimization with wealth-dependent risk constraints2022-05-05Paper
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation2022-04-08Paper
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.2022-01-27Paper
Model uncertainty on commodity portfolios, the role of convenience yield2022-01-10Paper
Option pricing with conditional GARCH models2021-06-03Paper
Behavioral portfolio choice under hyperbolic absolute risk aversion2021-03-16Paper
Optimal insurance contracts under distortion risk measures with ambiguity aversion2020-08-31Paper
Dynamic portfolio strategies under a fully correlated jump-diffusion process2019-11-07Paper
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications2013-02-21Paper

Research outcomes over time

This page was built for person: Marcos Escobar Anel