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person:"Palomino, Frédéric"
subject:"Portfolio-Management"
~accessRights:"restricted"
~person:"Escobar, Marcos"
~subject:"Finanzanalyse"
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Palomino, Frédéric
Escobar, Marcos
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1
Mean-variance optimization under affine GARCH : a utility-based solution
Escobar, Marcos
;
Spies, Ben
;
Zagst, Rudi
- In:
Finance research letters
59
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014445236
Saved in:
2
Revisiting the 1/N-strategy : a neural network framework for optimal strategies
Escobar, Marcos
;
Theilacker, Lorenz
;
Zagst, Rudi
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
2
,
pp. 505-542
Persistent link: https://www.econbiz.de/10014443753
Saved in:
3
A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen
;
Escobar, Marcos
;
Davison, Matt
- In:
Computational economics
62
(
2023
)
3
,
pp. 1177-1213
Persistent link: https://www.econbiz.de/10014382894
Saved in:
4
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
Saved in:
5
Robust portfolio choice under the 4/2 stochastic volatility model
Cheng, Yuyang
;
Escobar, Marcos
- In:
IMA journal of management mathematics
34
(
2023
)
1
,
pp. 221-256
Persistent link: https://www.econbiz.de/10013541857
Saved in:
6
Derivatives-based portfolio decisions : an expected utility insight
Escobar, Marcos
;
Davison, Matt
;
Zhu, Yichen
- In:
Annals of finance
18
(
2022
)
2
,
pp. 217-246
Persistent link: https://www.econbiz.de/10013278982
Saved in:
7
International portfolio choice under multi-factor stochastic volatility
Escobar, Marcos
;
Ferrando, Sebastian
;
Gschnaidtner, …
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1193-1216
Persistent link: https://www.econbiz.de/10013367893
Saved in:
8
Portfolio optimization with wealth-dependent risk constraints
Escobar, Marcos
;
Wahl, Markus
;
Zagst, Rudi
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 244-268
Persistent link: https://www.econbiz.de/10013370501
Saved in:
9
Decrease of capital guarantees in life insurance products : can reinsurance stop it?
Escobar, Marcos
;
Havrylenko, Yevhen
;
Kschonnek, Michel
; …
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 14-40
Persistent link: https://www.econbiz.de/10013348899
Saved in:
10
Model uncertainty on commodity portfolios, the role of convenience yield
Chen, Junhe
;
Escobar, Marcos
- In:
Annals of finance
17
(
2021
)
4
,
pp. 501-528
Persistent link: https://www.econbiz.de/10012664148
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