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~accessRights:"restricted"
~person:"Escobar, Marcos"
~person:"Tan, Ken Seng"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Search: subject:"Portfolio-Management"
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37
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Escobar, Marcos
Tan, Ken Seng
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23
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Xuan Vinh Vo
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37
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1
Mean-variance optimization under affine GARCH : a utility-based solution
Escobar, Marcos
;
Spies, Ben
;
Zagst, Rudi
- In:
Finance research letters
59
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014445236
Saved in:
2
Markowitz-based Shariah compliant portfolio model with stochastic purification and probabilistic compliance screening constraints
Puspita, Dila
;
Kolkiewicz, Adam
;
Tan, Ken Seng
- In:
Journal of Islamic accounting and business research
14
(
2023
)
8
,
pp. 1300-1323
Persistent link: https://www.econbiz.de/10014452394
Saved in:
3
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
4
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
Saved in:
5
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
Saved in:
6
A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen
;
Escobar, Marcos
;
Davison, Matt
- In:
Computational economics
62
(
2023
)
3
,
pp. 1177-1213
Persistent link: https://www.econbiz.de/10014382894
Saved in:
7
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:
8
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
Saved in:
9
Robust portfolio choice under the 4/2 stochastic volatility model
Cheng, Yuyang
;
Escobar, Marcos
- In:
IMA journal of management mathematics
34
(
2023
)
1
,
pp. 221-256
Persistent link: https://www.econbiz.de/10013541857
Saved in:
10
An insurer's optimal strategy towards a new independent business
Chi, Yichun
;
Huang, Yuxia
;
Tan, Ken Seng
- In:
Scandinavian actuarial journal
2024
(
2024
)
1
,
pp. 89-107
Persistent link: https://www.econbiz.de/10014519973
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