Access Statistics for Marcos Escobar Anel

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Closed-form portfolio optimization under GARCH models 0 0 1 21 0 0 14 43
Decrease of capital guarantees in life insurance products: can reinsurance stop it? 0 0 0 12 0 1 10 30
Derivatives-based portfolio decisions. An expected utility insight 0 0 1 12 0 0 21 37
Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model 0 0 2 5 0 0 21 26
Optimal fees in hedge funds with first-loss compensation 0 0 3 8 4 13 40 50
Optimal market completion through financial derivatives with applications to volatility risk 0 0 0 12 0 0 11 30
Portfolio Optimization in Affine Models with Markov Switching 0 0 0 15 0 0 8 62
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics 1 1 3 7 1 2 15 25
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis 0 2 10 18 1 4 32 56
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model 0 0 1 15 0 0 8 28
Total Working Papers 1 3 21 125 6 20 180 387

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A General Structural Approach For Credit Modeling Under Stochastic Volatility 0 0 0 0 0 0 8 101
A Neural Network Monte Carlo Approximation for Expected Utility Theory 0 0 1 4 0 3 15 35
A Note on the Distribution of Multivariate Brownian Extrema 0 0 0 1 1 1 17 25
A Note on the Impact of Parameter Uncertainty on Barrier Derivatives 0 0 0 1 1 1 9 32
A Polynomial-Affine Approximation for Dynamic Portfolio Choice 0 0 0 0 0 2 12 15
A class of portfolio optimization solvable problems 0 1 1 7 0 4 16 26
A dynamic programming approach to path-dependent constrained portfolios 0 0 3 11 2 2 18 52
A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization 0 0 1 2 0 2 21 22
A mean reverting affine GARCH model for commodities 1 1 1 1 3 8 11 11
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions 0 0 0 6 0 0 10 28
A multivariate stochastic volatility model with applications in the foreign exchange market 0 1 1 29 0 3 18 136
Affine multivariate GARCH models 0 1 1 18 0 1 11 75
An intensity‐based approach for equity modeling 0 0 0 0 1 1 10 13
Analytical fixed income pricing in discrete time: A new family of models 0 0 1 1 1 4 10 10
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model 0 0 0 7 0 0 3 75
BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION 0 0 0 17 0 0 12 64
Barrier options in three dimensions 0 0 0 14 1 2 7 48
Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization 0 0 0 1 0 0 6 9
Behavioral portfolio decisions in a GARCH world 0 0 0 0 0 1 1 1
Behavioral portfolio insurance strategies 0 0 0 14 0 1 15 54
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance 0 0 0 26 0 1 13 102
Closed-form portfolio optimization under GARCH models 0 0 2 7 0 3 26 49
Conditional Correlation via Generalized Random Forests with Application to Hedge Funds 0 0 0 0 0 1 7 7
Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 0 0 0 1 9 13
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 1 1 6 0 2 12 21
Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications 0 0 2 3 0 1 10 22
Decrease of capital guarantees in life insurance products: Can reinsurance stop it? 0 0 0 15 1 2 16 49
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications 0 0 0 17 0 0 9 80
Derivatives-based portfolio decisions: an expected utility insight 0 0 2 4 0 0 21 39
Do jumps matter in discrete-time portfolio optimization? 0 0 0 1 2 3 17 26
Dynamic derivative strategies with stochastic interest rates and model uncertainty 0 0 1 18 0 1 13 103
Dynamic portfolio strategies under a fully correlated jump-diffusion process 0 0 2 10 1 1 20 59
Efficiently pricing double barrier derivatives in stochastic volatility models 0 0 0 10 2 2 9 70
Expected Utility Theory on General Affine GARCH Models 0 0 0 3 1 2 9 21
Generalized Mean-Reverting 4/2 Factor Model 0 0 2 4 0 1 12 42
HARA utility maximization in a Markov-switching bond–stock market 0 0 0 7 0 0 19 55
Impact of factor models on portfolio risk measures: a structural approach 0 0 1 1 0 0 5 12
Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs 0 0 0 6 0 0 10 76
International portfolio choice under multi-factor stochastic volatility 0 0 1 2 0 0 15 19
Local Stochastic Correlation Models for Derivative Pricing 0 0 0 0 0 2 10 10
Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing 0 0 1 1 1 2 30 31
Mean-Reverting 4/2 Principal Components Model. Financial Applications 0 0 0 2 1 2 7 17
Mean–variance optimization of terminal wealth and consumption 0 0 0 0 1 1 3 3
Mean–variance optimization under affine GARCH: A utility-based solution 1 2 4 7 1 5 39 55
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model 0 0 0 0 0 1 8 10
Model uncertainty on commodity portfolios, the role of convenience yield 0 0 1 4 0 0 8 14
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications 1 1 2 3 1 2 21 23
Multivariate risk aversion utility, application to ESG investments 0 0 1 11 1 1 20 48
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 1 1 1 0 3 14 16
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION 0 1 3 18 0 1 9 46
Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models 0 0 0 0 0 0 7 12
Optimal HARA Investments with Terminal VaR Constraints 0 0 1 2 2 4 18 25
Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk 0 0 1 1 1 1 16 17
Optimal consumption and investment in general affine GARCH models 0 0 0 1 0 2 18 22
Optimal fee structures in hedge funds 0 0 0 35 0 0 14 164
Optimal fees in hedge funds with first-loss compensation 0 0 1 37 0 0 23 132
Optimal investment in multidimensional Markov-modulated affine models 0 0 0 12 1 1 15 128
Optimal investment strategy in the family of 4/2 stochastic volatility models 0 0 0 7 2 3 17 34
Optimal investment under multi-factor stochastic volatility 0 0 1 8 1 1 10 40
Option pricing with conditional GARCH models 1 2 4 34 1 2 20 143
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING 0 0 0 5 0 3 21 38
PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION 0 0 1 14 0 0 15 51
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models 0 0 0 3 0 2 10 22
Portfolio choice with stochastic interest rates and learning about stock return predictability 0 0 0 19 0 2 13 68
Portfolio optimization under Solvency II 0 2 7 48 0 6 32 144
Portfolio optimization with wealth-dependent risk constraints 0 0 1 3 1 1 7 9
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation 0 0 0 6 0 1 10 28
Pricing a CDO on stochastically correlated underlyings 0 0 0 25 0 0 8 93
Pricing multiple barrier derivatives under stochastic volatility 0 0 1 2 1 1 10 12
Pricing of mountain range derivatives under a principal component stochastic volatility model 0 0 0 4 0 1 9 21
Pricing of spread options on stochastically correlated underlyings 0 0 1 1 1 2 10 10
Pricing two dimensional derivatives under stochastic correlation 0 0 0 22 1 1 6 79
Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements 0 0 0 0 0 0 10 13
RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL 0 0 0 0 0 1 16 26
Residual Model for Future Prices 0 0 0 0 0 2 21 23
Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 1 1 0 1 20 23
Robust Portfolio Choice under the Modified Constant Elasticity of Variance 0 0 0 0 1 1 15 19
Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference 0 0 0 2 1 1 16 22
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity 0 0 1 9 0 0 7 31
Robust portfolio choice with derivative trading under stochastic volatility 0 0 0 22 2 3 17 121
Robust portfolios with commodities and stochastic interest rates 0 0 2 3 0 0 10 15
Single and Double Black-Cox: Two approaches for modelling debt restructuring 0 0 0 57 2 2 19 295
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory 0 0 0 15 0 0 11 55
Stochastic covariance and dimension reduction in the pricing of basket options 0 0 0 10 0 0 10 66
Stochastic volatility models for the implied correlation index 0 0 1 9 1 2 23 55
The Repayment Structure of Agricultural Loans under a Full Repayment Constraint 0 0 0 0 0 0 0 0
The SEV-SV Model—Applications in Portfolio Optimization 0 0 0 1 0 3 14 28
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 1 1 1 1 2 5 21 21
The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications 0 0 1 12 0 4 19 51
The power of derivatives in portfolio optimization under affine GARCH models 0 0 1 4 0 3 30 35
The shifted GARCH model with affine variance: Applications in pricing 0 0 2 2 1 1 14 22
Two asset-barrier option under stochastic volatility 0 0 0 2 0 0 7 26
Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis 0 0 4 5 0 1 16 24
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model 0 0 0 0 2 2 14 14
Total Journal Articles 5 15 70 765 47 143 1,290 4,247

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
PRICING CERTIFICATES UNDER ISSUER RISK 0 0 0 5 0 0 5 12
The Mathematics of Risk Transfer 0 0 0 0 0 0 8 13
Total Chapters 0 0 0 5 0 0 13 25

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-08-07