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Affine multivariate GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: Journal of banking & finance 118 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
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The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: International review of financial analysis 87 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014460484
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Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang - In: Operations research letters 44 (2016) 4, pp. 540-543
Persistent link: https://www.econbiz.de/10011535445
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Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
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Optimal investment in multidimensional Markov-modulated affine models
Neykova, Daniela; Escobar, Marcos; Zagst, Rudi - In: Annals of finance 11 (2015) 3/4, pp. 503-530
Persistent link: https://www.econbiz.de/10011459789
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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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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
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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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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