Marcos Escobar-Anel

According to our database, Marcos Escobar-Anel authored at least 6 papers between 2021 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

Optimal consumption and investment in general affine GARCH models.

Marcos Escobar-Anel, Ben Spies, Rudi Zagst

OR Spectr., September, 2024

2022

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

Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst

Math. Methods Oper. Res., 2022

A dynamic programming approach to path-dependent constrained portfolios.

Marcos Escobar-Anel

Ann. Oper. Res., 2022

Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.

Yichen Zhu, Marcos Escobar-Anel

Appl. Math. Comput., 2022

Optimal HARA Investments with Terminal VaR Constraints.

Marcos Escobar-Anel, Maximilian Keller, Rudi Zagst

Adv. Oper. Res., 2022

2021

Option pricing with conditional GARCH models.

Marcos Escobar-Anel, Javad Rastegari, Lars Stentoft

Eur. J. Oper. Res., 2021