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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
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Model uncertainty on commodity portfolios, the role of convenience yield
Chen, Junhe; Escobar, Marcos - In: Annals of finance 17 (2021) 4, pp. 501-528
Persistent link: https://www.econbiz.de/10012664148
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Robust portfolios with commodities and stochastic interest rates
Chen, Junhe; Davison, Matt; Escobar, Marcos; Zafari, Golara - In: Quantitative finance 21 (2021) 6, pp. 991-1010
Persistent link: https://www.econbiz.de/10012515629
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Behavioral portfolio choice under hyperbolic absolute risk aversion
Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-33
Persistent link: https://www.econbiz.de/10012496902
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Optimal insurance contracts under distortion risk measures with ambiguity aversion
Jiang, Wenjun; Escobar, Marcos; Ren, Jiandong - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 619-646
Persistent link: https://www.econbiz.de/10012243390
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Derivatives-based portfolio decisions : an expected utility insight
Escobar, Marcos; Davison, Matt; Zhu, Yichen - In: Annals of finance 18 (2022) 2, pp. 217-246
Persistent link: https://www.econbiz.de/10013278982
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Multivariate risk aversion utility, application to ESG investments
Escobar, Marcos - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014225740
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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