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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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Behavioral portfolio choice under hyperbolic absolute risk aversion
Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-33
Persistent link: https://www.econbiz.de/10012496902
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Behavioral portfolio insurance strategies
Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: Financial markets and portfolio management 34 (2020) 4, pp. 353-399
Persistent link: https://www.econbiz.de/10012309906
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Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
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Optimal investment in multidimensional Markov-modulated affine models
Neykova, Daniela; Escobar, Marcos; Zagst, Rudi - In: Annals of finance 11 (2015) 3/4, pp. 503-530
Persistent link: https://www.econbiz.de/10011459789
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Portfolio choice with stochastic interest rates and learning about stock return predictability
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: International review of economics & finance : IREF 41 (2016), pp. 347-370
Persistent link: https://www.econbiz.de/10011624748
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Dynamic portfolio strategies under a fully correlated jump-diffusion process
Escobar, Marcos; Moreno-Franco, Harold A. - In: Annals of finance 15 (2019) 3, pp. 421-453
Persistent link: https://www.econbiz.de/10012240153
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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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Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
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Portfolio optimization in affine models with Markov switching
Escobar, Marcos; Neykova, Daniela; Zagst, Rudi - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-46
Persistent link: https://www.econbiz.de/10011403855