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Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Bergen, V.; Escobar, Marcos; Rubtsov, A.; Zagst, Rudi - In: Quantitative finance 18 (2018) 8, pp. 1265-1294
Persistent link: https://www.econbiz.de/10011911537
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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
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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
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Robust portfolios with commodities and stochastic interest rates
Chen, Junhe; Davison, Matt; Escobar, Marcos; Zafari, Golara - In: Quantitative finance 21 (2021) 6, pp. 991-1010
Persistent link: https://www.econbiz.de/10012515629
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Optimal investment strategy in the family of 4/2 stochastic volatility models
Cheng, Yuyang; Escobar, Marcos - In: Quantitative finance 21 (2021) 10, pp. 1723-1751
Persistent link: https://www.econbiz.de/10012653709
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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
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A multi-curve HJM factor model for pricing and risk management
Bienek, Tobias; Deelstra, Griselda; Lichtenstern, Andreas; … - In: Quantitative finance 23 (2023) 11, pp. 1659-1675
Persistent link: https://www.econbiz.de/10014419185