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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

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

Portfolio optimization in affine models with Markov switching

Escobar, Marcos; Neykova, Daniela; Zagst, Rudi - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-46

Persistent link: https://www.econbiz.de/10011403855

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

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

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

Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation

Escobar, Marcos; Kschonnek, Michel; Zagst, Rudi - In: Mathematical methods of operations research : ZOR 95 (2022) 1, pp. 101-140

Persistent link: https://www.econbiz.de/10013184223

Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

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

Behavioral portfolio insurance strategies

Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: Financial markets and portfolio management 34 (2020) 4, pp. 353-399

Persistent link: https://www.econbiz.de/10012309906