Details about Marcos Escobar Anel
Access statistics for papers by Marcos Escobar Anel.
Last updated 2025-03-14. Update your information in the RePEc Author Service.
Short-id: pes169
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Working Papers
2024
- Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Papers, arXiv.org
2023
- Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Papers, arXiv.org 
See also Journal Article Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model, Quantitative Finance, Taylor & Francis Journals (2023) (2023)
- Optimal fees in hedge funds with first-loss compensation
Papers, arXiv.org 
See also Journal Article Optimal fees in hedge funds with first-loss compensation, Journal of Banking & Finance, Elsevier (2020) View citations (1) (2020)
- Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics
Papers, arXiv.org View citations (1)
- Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
Papers, arXiv.org
2022
- Derivatives-based portfolio decisions. An expected utility insight
Papers, arXiv.org View citations (1)
See also Journal Article Derivatives-based portfolio decisions: an expected utility insight, Annals of Finance, Springer (2022) View citations (1) (2022)
- Optimal market completion through financial derivatives with applications to volatility risk
Papers, arXiv.org 
See also Journal Article Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk, JRFM, MDPI (2024) (2024)
2021
- Closed-form portfolio optimization under GARCH models
Papers, arXiv.org 
See also Journal Article Closed-form portfolio optimization under GARCH models, Operations Research Perspectives, Elsevier (2022) View citations (3) (2022)
- Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Papers, arXiv.org View citations (1)
See also Journal Article Decrease of capital guarantees in life insurance products: Can reinsurance stop it?, Insurance: Mathematics and Economics, Elsevier (2022) View citations (2) (2022)
2014
- Portfolio Optimization in Affine Models with Markov Switching
Papers, arXiv.org View citations (3)
See also Journal Article PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (5) (2015)
Journal Articles
2025
- Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications
Econometrics, 2025, 13, (1), 1-17
- Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications
The North American Journal of Economics and Finance, 2025, 77, (C)
- The shifted GARCH model with affine variance: Applications in pricing
Finance Research Letters, 2025, 71, (C)
2024
- Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization
Mathematics, 2024, 12, (11), 1-27
- Do jumps matter in discrete-time portfolio optimization?
Operations Research Perspectives, 2024, 13, (C)
- Mean–variance optimization under affine GARCH: A utility-based solution
Finance Research Letters, 2024, 59, (C)
- Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models
Finance Research Letters, 2024, 69, (PA)
- Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk
JRFM, 2024, 17, (10), 1-20 
See also Working Paper Optimal market completion through financial derivatives with applications to volatility risk, Papers (2022) (2022)
- Optimal consumption and investment in general affine GARCH models
OR Spectrum: Quantitative Approaches in Management, 2024, 46, (3), 987-1026
- Robust Portfolio Choice under the Modified Constant Elasticity of Variance
Mathematics, 2024, 12, (3), 1-31
- Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference
Risks, 2024, 12, (2), 1-29
- The power of derivatives in portfolio optimization under affine GARCH models
Decisions in Economics and Finance, 2024, 47, (1), 151-181
- Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis
China Finance Review International, 2024, 14, (4), 719-758
2023
- A Polynomial-Affine Approximation for Dynamic Portfolio Choice
Computational Economics, 2023, 62, (3), 1177-1213
- A class of portfolio optimization solvable problems
Finance Research Letters, 2023, 52, (C)
- A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
Quantitative Finance, 2023, 23, (3), 497-519 View citations (1)
- Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies
Decisions in Economics and Finance, 2023, 46, (2), 543-543
- Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
International Review of Financial Analysis, 2023, 87, (C)
- Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model
Quantitative Finance, 2023, 23, (12), 1793-1813 
See also Working Paper Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model, Papers (2023) (2023)
- Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models
Mathematics, 2023, 11, (18), 1-28
- Revisiting the 1/N-strategy: a neural network framework for optimal strategies
Decisions in Economics and Finance, 2023, 46, (2), 505-542
- The SEV-SV Model—Applications in Portfolio Optimization
Risks, 2023, 11, (2), 1-34
2022
- A dynamic programming approach to path-dependent constrained portfolios
Annals of Operations Research, 2022, 315, (1), 141-157
- Closed-form portfolio optimization under GARCH models
Operations Research Perspectives, 2022, 9, (C) View citations (3)
See also Working Paper Closed-form portfolio optimization under GARCH models, Papers (2021) (2021)
- Decrease of capital guarantees in life insurance products: Can reinsurance stop it?
Insurance: Mathematics and Economics, 2022, 105, (C), 14-40 View citations (2)
See also Working Paper Decrease of capital guarantees in life insurance products: can reinsurance stop it?, Papers (2021) View citations (1) (2021)
- Derivatives-based portfolio decisions: an expected utility insight
Annals of Finance, 2022, 18, (2), 217-246 View citations (1)
See also Working Paper Derivatives-based portfolio decisions. An expected utility insight, Papers (2022) View citations (1) (2022)
- International portfolio choice under multi-factor stochastic volatility
Quantitative Finance, 2022, 22, (6), 1193-1216
- Multivariate risk aversion utility, application to ESG investments
The North American Journal of Economics and Finance, 2022, 63, (C) View citations (4)
- Optimal HARA Investments with Terminal VaR Constraints
Advances in Operations Research, 2022, 2022, 1-20 View citations (1)
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models
Applied Mathematics and Computation, 2022, 418, (C) View citations (4)
- Portfolio optimization with wealth-dependent risk constraints
Scandinavian Actuarial Journal, 2022, 2022, (3), 244-268
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Mathematical Methods of Operations Research, 2022, 95, (1), 101-140
2021
- A Neural Network Monte Carlo Approximation for Expected Utility Theory
JRFM, 2021, 14, (7), 1-18
- Expected Utility Theory on General Affine GARCH Models
Applied Mathematical Finance, 2021, 28, (6), 477-507 View citations (4)
- Mean-Reverting 4/2 Principal Components Model. Financial Applications
Risks, 2021, 9, (8), 1-23
- Model uncertainty on commodity portfolios, the role of convenience yield
Annals of Finance, 2021, 17, (4), 501-528 View citations (1)
- Optimal investment strategy in the family of 4/2 stochastic volatility models
Quantitative Finance, 2021, 21, (10), 1723-1751 View citations (11)
- Option pricing with conditional GARCH models
European Journal of Operational Research, 2021, 289, (1), 350-363 View citations (6)
- Robust portfolios with commodities and stochastic interest rates
Quantitative Finance, 2021, 21, (6), 991-1010 View citations (2)
2020
- Affine multivariate GARCH models
Journal of Banking & Finance, 2020, 118, (C) View citations (6)
- BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION
International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (07), 1-33
- Behavioral portfolio insurance strategies
Financial Markets and Portfolio Management, 2020, 34, (4), 353-399 View citations (3)
- OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION
ASTIN Bulletin, 2020, 50, (2), 619-646 View citations (9)
- Optimal fees in hedge funds with first-loss compensation
Journal of Banking & Finance, 2020, 118, (C) View citations (1)
See also Working Paper Optimal fees in hedge funds with first-loss compensation, Papers (2023) (2023)
- Stochastic volatility models for the implied correlation index
Finance Research Letters, 2020, 35, (C)
- The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications
Applied Stochastic Models in Business and Industry, 2020, 36, (5), 836-856 View citations (4)
2019
- Dynamic portfolio strategies under a fully correlated jump-diffusion process
Annals of Finance, 2019, 15, (3), 421-453
- Generalized Mean-Reverting 4/2 Factor Model
JRFM, 2019, 12, (4), 1-21 View citations (3)
- Portfolio optimization under Solvency II
Annals of Operations Research, 2019, 281, (1), 193-227 View citations (5)
2018
- A multivariate stochastic volatility model with applications in the foreign exchange market
Review of Derivatives Research, 2018, 21, (1), 1-43 View citations (7)
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
Journal of Economic Dynamics and Control, 2018, 86, (C), 49-71 View citations (10)
- Optimal fee structures in hedge funds
Journal of Asset Management, 2018, 19, (7), 522-542 View citations (4)
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Quantitative Finance, 2018, 18, (8), 1265-1294 View citations (7)
2017
- HARA utility maximization in a Markov-switching bond–stock market
Quantitative Finance, 2017, 17, (11), 1715-1733 View citations (6)
- Optimal investment under multi-factor stochastic volatility
Quantitative Finance, 2017, 17, (2), 241-260 View citations (11)
- Two asset-barrier option under stochastic volatility
Applied Mathematical Finance, 2017, 24, (6), 520-546 View citations (2)
2016
- A Note on the Impact of Parameter Uncertainty on Barrier Derivatives
Risks, 2016, 4, (4), 1-25
- Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs
Risks, 2016, 4, (4), 1-36 View citations (5)
- Portfolio choice with stochastic interest rates and learning about stock return predictability
International Review of Economics & Finance, 2016, 41, (C), 347-370 View citations (5)
- Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements
Applied Stochastic Models in Business and Industry, 2016, 32, (5), 585-606 View citations (1)
- Stochastic covariance and dimension reduction in the pricing of basket options
Review of Derivatives Research, 2016, 19, (3), 165-200
2015
- Optimal investment in multidimensional Markov-modulated affine models
Annals of Finance, 2015, 11, (3), 503-530 View citations (2)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (05), 1-46 View citations (5)
See also Working Paper Portfolio Optimization in Affine Models with Markov Switching, Papers (2014) View citations (3) (2014)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION
International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (03), 1-44 View citations (1)
- Robust portfolio choice with derivative trading under stochastic volatility
Journal of Banking & Finance, 2015, 61, (C), 142-157 View citations (27)
2014
- A Note on the Distribution of Multivariate Brownian Extrema
International Journal of Stochastic Analysis, 2014, 2014, 1-6 View citations (5)
- Barrier options in three dimensions
International Journal of Financial Markets and Derivatives, 2014, 3, (3), 260-292 View citations (1)
- Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
Applied Mathematical Finance, 2014, 21, (4), 363-397 View citations (1)
- Efficiently pricing double barrier derivatives in stochastic volatility models
Review of Derivatives Research, 2014, 17, (2), 191-216 View citations (3)
- Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory
Applied Mathematical Finance, 2014, 21, (6), 555-594 View citations (2)
2013
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
Metrika: International Journal for Theoretical and Applied Statistics, 2013, 76, (2), 179-203 View citations (9)
- Pricing of mountain range derivatives under a principal component stochastic volatility model
Applied Stochastic Models in Business and Industry, 2013, 29, (1), 31-44 View citations (6)
2012
- Residual Model for Future Prices
Journal of Business Administration Research, 2012, 1, (2), 110-119
2011
- A General Structural Approach For Credit Modeling Under Stochastic Volatility
Journal of Financial Transformation, 2011, 32, 123-132 View citations (1)
- An intensity‐based approach for equity modeling
Applied Stochastic Models in Business and Industry, 2011, 27, (6), 676-690
- Pricing two dimensional derivatives under stochastic correlation
International Journal of Financial Markets and Derivatives, 2011, 2, (4), 265-287 View citations (3)
- RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL
Asia-Pacific Journal of Operational Research (APJOR), 2011, 28, (01), 65-80 View citations (1)
2010
- Pricing a CDO on stochastically correlated underlyings
Quantitative Finance, 2010, 10, (3), 265-277 View citations (2)
2009
- Asymptotic behavior of maximum likelihood estimators in a branching diffusion model
Statistical Inference for Stochastic Processes, 2009, 12, (2), 115-137 View citations (1)
- Single and Double Black-Cox: Two approaches for modelling debt restructuring
Economic Modelling, 2009, 26, (5), 910-917 View citations (4)
Undated
- Impact of factor models on portfolio risk measures: a structural approach
Journal of Credit Risk
- Pricing multiple barrier derivatives under stochastic volatility
Journal of Computational Finance
- Pricing of spread options on stochastically correlated underlyings
Journal of Computational Finance
Chapters
2010
- PRICING CERTIFICATES UNDER ISSUER RISK
Chapter 6 in Alternative Investments And Strategies, 2010, pp 123-146
2008
- The Mathematics of Risk Transfer
Springer
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