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Marcos Escobar-Anel

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Journal Articles

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2024
[j6]
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Marcos Escobar-Anel, Ben Spies, Rudi Zagst:
Optimal consumption and investment in general affine GARCH models. OR Spectr. 46(3): 987-1026 (2024)
2022
[j5]
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Marcos Escobar-Anel, Maximilian Keller, Rudi Zagst:
Optimal HARA Investments with Terminal VaR Constraints. Adv. Oper. Res. 2022: 6357701:1-6357701:20 (2022)
[j4]
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Yichen Zhu, Marcos Escobar-Anel:
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. Appl. Math. Comput. 418: 126836 (2022)
[j3]
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Marcos Escobar-Anel:
A dynamic programming approach to path-dependent constrained portfolios. Ann. Oper. Res. 315(1): 141-157 (2022)
[j2]
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Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst:
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation. Math. Methods Oper. Res. 95(1): 101-140 (2022)
2021
[j1]
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Marcos Escobar-Anel, Javad Rastegari, Lars Stentoft:
Option pricing with conditional GARCH models. Eur. J. Oper. Res. 289(1): 350-363 (2021)

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