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isPartOf:"SFB 649 discussion paper"
~isPartOf:"CREATES research paper"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Quantitative finance"
~person:"Escobar, Marcos"
~subject:"Mortality"
~subject:"Risiko"
~subject:"Theorie"
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Escobar, Marcos
Podolskij, Mark
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Härdle, Wolfgang
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Liang, Zongxia
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Veraart, Almut E. D.
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Post, Thomas
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Shevchenko, Pavel V.
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SFB 649 discussion paper
CREATES research paper
Insurance / Mathematics & economics
Quantitative finance
Journal of risk and financial management : JRFM
2
Risks : open access journal
2
Computational economics
1
IMA journal of management mathematics
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ECONIS (ZBW)
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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
Saved in:
2
International portfolio choice under multi-factor stochastic volatility
Escobar, Marcos
;
Ferrando, Sebastian
;
Gschnaidtner, …
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1193-1216
Persistent link: https://www.econbiz.de/10013367893
Saved in:
3
Optimal investment strategy in the family of 4/2 stochastic volatility models
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1723-1751
Persistent link: https://www.econbiz.de/10012653709
Saved in:
4
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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