Details about Marcos Escobar Anel

Access statistics for papers by Marcos Escobar Anel.

Last updated 2023-09-10. Update your information in the RePEc Author Service.

Short-id: pes169

Working Papers

2023

1. Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
   Papers, arXiv.org
2. Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics
   Papers, arXiv.org View citations (1)
3. Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
   Papers, arXiv.org
4. Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
   Papers, arXiv.org

2022

5. Derivatives-based portfolio decisions. An expected utility insight
   Papers, arXiv.org
   See also Journal Article in Annals of Finance (2022)
6. Optimal market completion through financial derivatives with applications to volatility risk
   Papers, arXiv.org

2021

7. Closed-form portfolio optimization under GARCH models
   Papers, arXiv.org
   See also Journal Article in Operations Research Perspectives (2022)
8. Decrease of capital guarantees in life insurance products: can reinsurance stop it?
   Papers, arXiv.org View citations (1)
   See also Journal Article in Insurance: Mathematics and Economics (2022)

2014

9. Portfolio Optimization in Affine Models with Markov Switching
   Papers, arXiv.org View citations (3)
   See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2015)

Journal Articles

2023

1. A class of portfolio optimization solvable problems
   Finance Research Letters, 2023, 52, (C)
2. A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
   Quantitative Finance, 2023, 23, (3), 497-519
3. Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
   International Review of Financial Analysis, 2023, 87, (C)
4. The SEV-SV Model—Applications in Portfolio Optimization
   Risks, 2023, 11, (2), 1-34

2022

5. A dynamic programming approach to path-dependent constrained portfolios
   Annals of Operations Research, 2022, 315, (1), 141-157
6. Closed-form portfolio optimization under GARCH models
   Operations Research Perspectives, 2022, 9, (C)
   See also Working Paper (2021)
7. Decrease of capital guarantees in life insurance products: Can reinsurance stop it?
   Insurance: Mathematics and Economics, 2022, 105, (C), 14-40 View citations (1)
   See also Working Paper (2021)
8. Derivatives-based portfolio decisions: an expected utility insight
   Annals of Finance, 2022, 18, (2), 217-246
   See also Working Paper (2022)
9. International portfolio choice under multi-factor stochastic volatility
   Quantitative Finance, 2022, 22, (6), 1193-1216
10. Multivariate risk aversion utility, application to ESG investments
    The North American Journal of Economics and Finance, 2022, 63, (C) View citations (2)
11. Optimal HARA Investments with Terminal VaR Constraints
    Advances in Operations Research, 2022, 2022, 1-20
12. Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models
    Applied Mathematics and Computation, 2022, 418, (C) View citations (2)
13. Portfolio optimization with wealth-dependent risk constraints
    Scandinavian Actuarial Journal, 2022, 2022, (3), 244-268
14. Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
    Mathematical Methods of Operations Research, 2022, 95, (1), 101-140

2021

15. A Neural Network Monte Carlo Approximation for Expected Utility Theory
    JRFM, 2021, 14, (7), 1-18
16. Expected Utility Theory on General Affine GARCH Models
    Applied Mathematical Finance, 2021, 28, (6), 477-507
17. Mean-Reverting 4/2 Principal Components Model. Financial Applications
    Risks, 2021, 9, (8), 1-23
18. Model uncertainty on commodity portfolios, the role of convenience yield
    Annals of Finance, 2021, 17, (4), 501-528
19. Optimal investment strategy in the family of 4/2 stochastic volatility models
    Quantitative Finance, 2021, 21, (10), 1723-1751 View citations (7)
20. Option pricing with conditional GARCH models
    European Journal of Operational Research, 2021, 289, (1), 350-363 View citations (3)
21. Robust portfolios with commodities and stochastic interest rates
    Quantitative Finance, 2021, 21, (6), 991-1010 View citations (1)

2020

22. Affine multivariate GARCH models
    Journal of Banking & Finance, 2020, 118, (C) View citations (4)
23. BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION
    International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (07), 1-33
24. Behavioral portfolio insurance strategies
    Financial Markets and Portfolio Management, 2020, 34, (4), 353-399 View citations (3)
25. OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION
    ASTIN Bulletin, 2020, 50, (2), 619-646 View citations (5)
26. Optimal fees in hedge funds with first-loss compensation
    Journal of Banking & Finance, 2020, 118, (C)
27. Stochastic volatility models for the implied correlation index
    Finance Research Letters, 2020, 35, (C)
28. 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 (3)

2019

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

2018

32. A multivariate stochastic volatility model with applications in the foreign exchange market
    Review of Derivatives Research, 2018, 21, (1), 1-43 View citations (6)
33. Dynamic derivative strategies with stochastic interest rates and model uncertainty
    Journal of Economic Dynamics and Control, 2018, 86, (C), 49-71 View citations (9)
34. Optimal fee structures in hedge funds
    Journal of Asset Management, 2018, 19, (7), 522-542 View citations (2)
35. Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
    Quantitative Finance, 2018, 18, (8), 1265-1294 View citations (7)

2017

36. HARA utility maximization in a Markov-switching bond–stock market
    Quantitative Finance, 2017, 17, (11), 1715-1733 View citations (6)
37. Optimal investment under multi-factor stochastic volatility
    Quantitative Finance, 2017, 17, (2), 241-260 View citations (8)
38. Two asset-barrier option under stochastic volatility
    Applied Mathematical Finance, 2017, 24, (6), 520-546

2016

39. A Note on the Impact of Parameter Uncertainty on Barrier Derivatives
    Risks, 2016, 4, (4), 1-25
40. Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs
    Risks, 2016, 4, (4), 1-36 View citations (3)
41. Portfolio choice with stochastic interest rates and learning about stock return predictability
    International Review of Economics & Finance, 2016, 41, (C), 347-370 View citations (2)
42. 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)
43. Stochastic covariance and dimension reduction in the pricing of basket options
    Review of Derivatives Research, 2016, 19, (3), 165-200

2015

44. Optimal investment in multidimensional Markov-modulated affine models
    Annals of Finance, 2015, 11, (3), 503-530 View citations (2)
45. 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 (2014)
46. 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)
47. Robust portfolio choice with derivative trading under stochastic volatility
    Journal of Banking & Finance, 2015, 61, (C), 142-157 View citations (24)

2014

48. A Note on the Distribution of Multivariate Brownian Extrema
    International Journal of Stochastic Analysis, 2014, 2014, 1-6 View citations (5)
49. Barrier options in three dimensions
    International Journal of Financial Markets and Derivatives, 2014, 3, (3), 260-292 View citations (1)
50. Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
    Applied Mathematical Finance, 2014, 21, (4), 363-397 View citations (1)
51. Efficiently pricing double barrier derivatives in stochastic volatility models
    Review of Derivatives Research, 2014, 17, (2), 191-216 View citations (3)
52. 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

53. 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)
54. 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

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

2011

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

2010

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

2009

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

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