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Optimal consumption and investment in general affine GARCH models
Escobar, Marcos; Spies, Ben; Zagst, Rudi - In: OR spectrum : quantitative approaches in management 46 (2024) 3, pp. 987-1026
Persistent link: https://www.econbiz.de/10015188641
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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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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
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A class of portfolio optimization solvable problems
Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014472208
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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
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The power of derivatives in portfolio optimization under affine GARCH models
Escobar, Marcos; Molter, Eric; Zagst, Rudi - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 151-181
Persistent link: https://www.econbiz.de/10015044791