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type_genre:"Article in journal"
~person:"Escobar, Marcos"
~subject:"Mathematical programming"
~subject:"Risk measure"
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Escobar, Marcos
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1
Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation
Escobar, Marcos
;
Kschonnek, Michel
;
Zagst, Rudi
- In:
Mathematical methods of operations research : ZOR
95
(
2022
)
1
,
pp. 101-140
Persistent link: https://www.econbiz.de/10013184223
Saved in:
2
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:
3
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
4
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:
5
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:
6
Portfolio optimization in a multidimensional structural-default model with a focus on private equity
Escobar, Marcos
;
Hieber, Peter
;
Scherer, Matthias
; …
- In:
The journal of private equity
15
(
2011/12
)
1
,
pp. 26-35
Persistent link: https://www.econbiz.de/10009410763
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