Details about Marcos Escobar Anel

Access statistics for papers by Marcos Escobar Anel.

Last updated 2025-08-08. Update your information in the RePEc Author Service.

Short-id: pes169

Working Papers

2024

1. Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
   Papers, arXiv.org
   See also Journal Article Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model, Annals of Operations Research, Springer (2025) (2025)

2023

2. 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)
3. 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 (2) (2020)
4. Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics
   Papers, arXiv.org View citations (1)
5. Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
   Papers, arXiv.org View citations (1)

2022

6. 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)
7. 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

8. 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 (5) (2022)
9. 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

10. 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

1. A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization
   Economic Modelling, 2025, 147, (C) View citations (1)
2. Analytical fixed income pricing in discrete time: A new family of models
   Global Finance Journal, 2025, 67, (C)
3. Conditional Correlation via Generalized Random Forests with Application to Hedge Funds
   SN Operations Research Forum, 2025, 6, (3), 1-26
4. Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications
   Econometrics, 2025, 13, (1), 1-17
5. Local Stochastic Correlation Models for Derivative Pricing
   Stats, 2025, 8, (3), 1-10
6. Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing
   IJFS, 2025, 13, (2), 1-31
7. Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications
   The North American Journal of Economics and Finance, 2025, 77, (C) View citations (1)
8. The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight
   Econometrics and Statistics, 2025, 36, (C), 1-18
9. The shifted GARCH model with affine variance: Applications in pricing
   Finance Research Letters, 2025, 71, (C)
10. Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model
    Annals of Operations Research, 2025, 347, (3), 1265-1309
    See also Working Paper Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model, Papers (2024) (2024)

2024

11. Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization
    Mathematics, 2024, 12, (11), 1-27
12. Do jumps matter in discrete-time portfolio optimization?
    Operations Research Perspectives, 2024, 13, (C) View citations (1)
13. Mean–variance optimization under affine GARCH: A utility-based solution
    Finance Research Letters, 2024, 59, (C)
14. Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models
    Finance Research Letters, 2024, 69, (PA)
15. 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)
16. Optimal consumption and investment in general affine GARCH models
    OR Spectrum: Quantitative Approaches in Management, 2024, 46, (3), 987-1026 View citations (2)
17. Robust Portfolio Choice under the Modified Constant Elasticity of Variance
    Mathematics, 2024, 12, (3), 1-31
18. Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference
    Risks, 2024, 12, (2), 1-29 View citations (1)
19. The power of derivatives in portfolio optimization under affine GARCH models
    Decisions in Economics and Finance, 2024, 47, (1), 151-181
20. Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis
    China Finance Review International, 2024, 14, (4), 719-758 View citations (1)

2023

21. A Polynomial-Affine Approximation for Dynamic Portfolio Choice
    Computational Economics, 2023, 62, (3), 1177-1213 View citations (1)
22. A class of portfolio optimization solvable problems
    Finance Research Letters, 2023, 52, (C) View citations (1)
23. A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
    Quantitative Finance, 2023, 23, (3), 497-519 View citations (3)
24. Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
    International Review of Financial Analysis, 2023, 87, (C) View citations (1)
25. 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)
26. Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models
    Mathematics, 2023, 11, (18), 1-28
27. Revisiting the 1/N-strategy: a neural network framework for optimal strategies
    Decisions in Economics and Finance, 2023, 46, (2), 505-542
    Also in Decisions in Economics and Finance, 2023, 46, (2), 543-543 (2023)
28. The SEV-SV Model—Applications in Portfolio Optimization
    Risks, 2023, 11, (2), 1-34

2022

29. A dynamic programming approach to path-dependent constrained portfolios
    Annals of Operations Research, 2022, 315, (1), 141-157 View citations (1)
30. Closed-form portfolio optimization under GARCH models
    Operations Research Perspectives, 2022, 9, (C) View citations (5)
    See also Working Paper Closed-form portfolio optimization under GARCH models, Papers (2021) (2021)
31. 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)
32. 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)
33. International portfolio choice under multi-factor stochastic volatility
    Quantitative Finance, 2022, 22, (6), 1193-1216
34. Multivariate risk aversion utility, application to ESG investments
    The North American Journal of Economics and Finance, 2022, 63, (C) View citations (7)
35. Optimal HARA Investments with Terminal VaR Constraints
    Advances in Operations Research, 2022, 2022, 1-20 View citations (1)
36. Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models
    Applied Mathematics and Computation, 2022, 418, (C) View citations (5)
37. Portfolio optimization with wealth-dependent risk constraints
    Scandinavian Actuarial Journal, 2022, 2022, (3), 244-268
38. Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
    Mathematical Methods of Operations Research, 2022, 95, (1), 101-140

2021

39. A Neural Network Monte Carlo Approximation for Expected Utility Theory
    JRFM, 2021, 14, (7), 1-18
40. Expected Utility Theory on General Affine GARCH Models
    Applied Mathematical Finance, 2021, 28, (6), 477-507 View citations (6)
41. Mean-Reverting 4/2 Principal Components Model. Financial Applications
    Risks, 2021, 9, (8), 1-23
42. Model uncertainty on commodity portfolios, the role of convenience yield
    Annals of Finance, 2021, 17, (4), 501-528 View citations (1)
43. Optimal investment strategy in the family of 4/2 stochastic volatility models
    Quantitative Finance, 2021, 21, (10), 1723-1751 View citations (12)
44. Option pricing with conditional GARCH models
    European Journal of Operational Research, 2021, 289, (1), 350-363 View citations (7)
45. Robust portfolios with commodities and stochastic interest rates
    Quantitative Finance, 2021, 21, (6), 991-1010 View citations (2)

2020

46. Affine multivariate GARCH models
    Journal of Banking & Finance, 2020, 118, (C) View citations (9)
47. BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION
    International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (07), 1-33
48. Behavioral portfolio insurance strategies
    Financial Markets and Portfolio Management, 2020, 34, (4), 353-399 View citations (3)
49. OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION
    ASTIN Bulletin, 2020, 50, (2), 619-646 View citations (11)
50. Optimal fees in hedge funds with first-loss compensation
    Journal of Banking & Finance, 2020, 118, (C) View citations (2)
    See also Working Paper Optimal fees in hedge funds with first-loss compensation, Papers (2023) (2023)
51. Stochastic volatility models for the implied correlation index
    Finance Research Letters, 2020, 35, (C)
52. 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

53. Dynamic portfolio strategies under a fully correlated jump-diffusion process
    Annals of Finance, 2019, 15, (3), 421-453
54. Generalized Mean-Reverting 4/2 Factor Model
    JRFM, 2019, 12, (4), 1-21 View citations (3)
55. Portfolio optimization under Solvency II
    Annals of Operations Research, 2019, 281, (1), 193-227 View citations (6)

2018

56. A multivariate stochastic volatility model with applications in the foreign exchange market
    Review of Derivatives Research, 2018, 21, (1), 1-43 View citations (8)
57. Dynamic derivative strategies with stochastic interest rates and model uncertainty
    Journal of Economic Dynamics and Control, 2018, 86, (C), 49-71 View citations (10)
58. Optimal fee structures in hedge funds
    Journal of Asset Management, 2018, 19, (7), 522-542 View citations (4)
59. Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
    Quantitative Finance, 2018, 18, (8), 1265-1294 View citations (8)

2017

60. HARA utility maximization in a Markov-switching bond–stock market
    Quantitative Finance, 2017, 17, (11), 1715-1733 View citations (6)
61. Optimal investment under multi-factor stochastic volatility
    Quantitative Finance, 2017, 17, (2), 241-260 View citations (14)
62. Two asset-barrier option under stochastic volatility
    Applied Mathematical Finance, 2017, 24, (6), 520-546 View citations (2)

2016

63. A Note on the Impact of Parameter Uncertainty on Barrier Derivatives
    Risks, 2016, 4, (4), 1-25
64. Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs
    Risks, 2016, 4, (4), 1-36 View citations (5)
65. Portfolio choice with stochastic interest rates and learning about stock return predictability
    International Review of Economics & Finance, 2016, 41, (C), 347-370 View citations (6)
66. 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)
67. Stochastic covariance and dimension reduction in the pricing of basket options
    Review of Derivatives Research, 2016, 19, (3), 165-200

2015

68. Optimal investment in multidimensional Markov-modulated affine models
    Annals of Finance, 2015, 11, (3), 503-530 View citations (2)
69. 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)
70. 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)
71. Robust portfolio choice with derivative trading under stochastic volatility
    Journal of Banking & Finance, 2015, 61, (C), 142-157 View citations (28)

2014

72. A Note on the Distribution of Multivariate Brownian Extrema
    International Journal of Stochastic Analysis, 2014, 2014, 1-6 View citations (5)
73. Barrier options in three dimensions
    International Journal of Financial Markets and Derivatives, 2014, 3, (3), 260-292 View citations (1)
74. Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
    Applied Mathematical Finance, 2014, 21, (4), 363-397 View citations (1)
75. Efficiently pricing double barrier derivatives in stochastic volatility models
    Review of Derivatives Research, 2014, 17, (2), 191-216 View citations (3)
76. 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

77. 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)
78. 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 (7)

2012

79. Residual Model for Future Prices
    Journal of Business Administration Research, 2012, 1, (2), 110-119

2011

80. A General Structural Approach For Credit Modeling Under Stochastic Volatility
    Journal of Financial Transformation, 2011, 32, 123-132 View citations (1)
81. An intensity‐based approach for equity modeling
    Applied Stochastic Models in Business and Industry, 2011, 27, (6), 676-690
82. Pricing two dimensional derivatives under stochastic correlation
    International Journal of Financial Markets and Derivatives, 2011, 2, (4), 265-287 View citations (3)
83. RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL
    Asia-Pacific Journal of Operational Research (APJOR), 2011, 28, (01), 65-80 View citations (1)

2010

84. Pricing a CDO on stochastically correlated underlyings
    Quantitative Finance, 2010, 10, (3), 265-277 View citations (2)

2009

85. Asymptotic behavior of maximum likelihood estimators in a branching diffusion model
    Statistical Inference for Stochastic Processes, 2009, 12, (2), 115-137 View citations (1)
86. Single and Double Black-Cox: Two approaches for modelling debt restructuring
    Economic Modelling, 2009, 26, (5), 910-917 View citations (4)

Undated

87. Impact of factor models on portfolio risk measures: a structural approach
    Journal of Credit Risk
88. Pricing multiple barrier derivatives under stochastic volatility
    Journal of Computational Finance
89. Pricing of spread options on stochastically correlated underlyings
    Journal of Computational Finance

Chapters

2010

1. PRICING CERTIFICATES UNDER ISSUER RISK
   Chapter 6 in Alternative Investments And Strategies, 2010, pp 123-146

2008

2. The Mathematics of Risk Transfer
   Springer