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 1 1 21 0 1 6 30
Decrease of capital guarantees in life insurance products: can reinsurance stop it? 0 0 0 12 0 1 3 21
Derivatives-based portfolio decisions. An expected utility insight 0 0 0 11 1 1 5 17
Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model 1 1 1 4 2 3 5 8
Optimal fees in hedge funds with first-loss compensation 1 2 3 7 3 5 10 15
Optimal market completion through financial derivatives with applications to volatility risk 0 0 1 12 0 1 3 19
Portfolio Optimization in Affine Models with Markov Switching 0 0 1 15 0 1 5 54
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics 1 1 1 5 1 1 2 11
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis 2 6 9 14 4 9 20 33
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model 0 0 2 14 0 0 10 20
Total Working Papers 5 11 19 115 11 23 69 228

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 0 93
A Neural Network Monte Carlo Approximation for Expected Utility Theory 0 0 1 3 0 0 7 20
A Note on the Distribution of Multivariate Brownian Extrema 0 0 0 1 0 2 4 9
A Note on the Impact of Parameter Uncertainty on Barrier Derivatives 0 0 0 1 0 0 1 23
A Polynomial-Affine Approximation for Dynamic Portfolio Choice 0 0 0 0 0 0 1 3
A class of portfolio optimization solvable problems 0 0 1 6 0 0 1 10
A dynamic programming approach to path-dependent constrained portfolios 1 1 2 9 2 2 11 36
A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization 0 1 1 1 1 2 2 2
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions 0 0 1 6 0 0 5 18
A multivariate stochastic volatility model with applications in the foreign exchange market 0 0 0 28 1 2 5 120
Affine multivariate GARCH models 0 0 0 17 0 0 0 64
An intensity‐based approach for equity modeling 0 0 0 0 0 1 1 4
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model 0 0 0 7 0 0 1 72
BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION 0 0 0 17 0 0 2 52
Barrier options in three dimensions 0 0 0 14 0 0 0 41
Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization 0 0 0 1 0 1 2 4
Behavioral portfolio insurance strategies 0 0 2 14 3 4 8 42
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance 0 0 0 26 0 1 3 89
Closed-form portfolio optimization under GARCH models 1 1 1 6 2 5 7 26
Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 0 0 0 0 1 4
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 0 0 5 9
Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications 0 1 2 2 0 1 13 13
Decrease of capital guarantees in life insurance products: Can reinsurance stop it? 0 0 1 15 0 3 7 33
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications 0 0 0 17 0 1 1 72
Derivatives-based portfolio decisions: an expected utility insight 1 2 2 4 1 3 7 21
Do jumps matter in discrete-time portfolio optimization? 0 0 1 1 1 1 10 10
Dynamic derivative strategies with stochastic interest rates and model uncertainty 0 0 2 17 0 1 10 91
Dynamic portfolio strategies under a fully correlated jump-diffusion process 0 0 0 8 1 1 5 40
Efficiently pricing double barrier derivatives in stochastic volatility models 0 0 0 10 0 0 1 61
Expected Utility Theory on General Affine GARCH Models 0 0 0 3 0 0 1 12
Generalized Mean-Reverting 4/2 Factor Model 0 0 0 2 0 0 0 30
HARA utility maximization in a Markov-switching bond–stock market 0 0 1 7 0 1 2 36
Impact of factor models on portfolio risk measures: a structural approach 0 1 1 1 0 1 8 8
Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs 0 0 0 6 0 0 1 66
International portfolio choice under multi-factor stochastic volatility 0 0 0 1 0 0 2 4
Local Stochastic Correlation Models for Derivative Pricing 0 0 0 0 0 0 0 0
Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing 0 0 0 0 1 1 2 2
Mean-Reverting 4/2 Principal Components Model. Financial Applications 0 0 0 2 0 0 1 10
Mean–variance optimization under affine GARCH: A utility-based solution 0 1 2 4 3 5 9 21
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model 0 0 0 0 0 0 2 2
Model uncertainty on commodity portfolios, the role of convenience yield 0 0 0 3 0 0 1 6
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications 0 1 2 2 1 2 4 4
Multivariate risk aversion utility, application to ESG investments 0 0 6 10 0 2 13 29
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 0 0 2 2
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION 0 0 2 15 0 0 4 37
Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models 0 0 0 0 0 0 1 5
Optimal HARA Investments with Terminal VaR Constraints 0 1 1 2 0 1 2 8
Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk 1 1 1 1 2 3 4 4
Optimal consumption and investment in general affine GARCH models 0 0 1 1 0 1 4 5
Optimal fee structures in hedge funds 0 0 1 35 0 7 11 150
Optimal fees in hedge funds with first-loss compensation 0 1 1 37 0 1 4 110
Optimal investment in multidimensional Markov-modulated affine models 0 0 0 12 1 1 2 114
Optimal investment strategy in the family of 4/2 stochastic volatility models 0 0 0 7 0 1 3 18
Optimal investment under multi-factor stochastic volatility 0 0 0 7 0 0 1 30
Option pricing with conditional GARCH models 0 1 2 30 0 5 9 126
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING 0 1 1 5 0 1 3 17
PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION 0 0 0 13 0 0 3 36
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models 0 0 0 3 0 1 4 12
Portfolio choice with stochastic interest rates and learning about stock return predictability 0 0 0 19 0 0 2 55
Portfolio optimization under Solvency II 0 2 6 42 0 4 19 114
Portfolio optimization with wealth-dependent risk constraints 1 1 1 3 1 1 1 3
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation 0 0 0 6 1 1 3 19
Pricing a CDO on stochastically correlated underlyings 0 0 0 25 0 0 1 85
Pricing multiple barrier derivatives under stochastic volatility 0 1 1 1 0 2 3 3
Pricing of mountain range derivatives under a principal component stochastic volatility model 0 0 0 4 0 0 2 12
Pricing of spread options on stochastically correlated underlyings 0 0 0 0 0 0 0 0
Pricing two dimensional derivatives under stochastic correlation 0 0 0 22 0 0 0 73
Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements 0 0 0 0 0 0 0 3
RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL 0 0 0 0 0 0 1 10
Residual Model for Future Prices 0 0 0 0 0 1 1 2
Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 0 0 1 1 2 4
Robust Portfolio Choice under the Modified Constant Elasticity of Variance 0 0 0 0 0 2 3 5
Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference 0 0 1 2 1 2 5 7
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity 0 0 0 8 0 1 5 24
Robust portfolio choice with derivative trading under stochastic volatility 0 1 2 22 0 1 3 104
Robust portfolios with commodities and stochastic interest rates 0 0 1 1 1 1 2 6
Single and Double Black-Cox: Two approaches for modelling debt restructuring 0 0 1 57 0 3 8 276
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory 0 0 0 15 0 0 0 44
Stochastic covariance and dimension reduction in the pricing of basket options 0 0 1 10 1 1 6 57
Stochastic volatility models for the implied correlation index 0 0 2 8 0 0 5 32
The SEV-SV Model—Applications in Portfolio Optimization 0 0 1 1 1 2 5 16
The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications 0 0 3 11 0 0 3 32
The power of derivatives in portfolio optimization under affine GARCH models 0 0 1 3 1 1 4 6
The shifted GARCH model with affine variance: Applications in pricing 0 1 1 1 0 1 9 9
Two asset-barrier option under stochastic volatility 0 0 0 2 0 0 2 19
Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis 0 2 3 3 0 6 10 10
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model 0 0 0 0 0 1 1 1
Total Journal Articles 5 22 66 711 28 97 330 3,017

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 3 5 0 0 3 7
The Mathematics of Risk Transfer 0 0 0 0 0 0 0 5
Total Chapters 0 0 3 5 0 0 3 12

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Statistics updated 2025-10-06