Marcos Escobar-Anel

Publication Activity (10 Years)

Years Active: 2021-2024
Publications (10 Years): 6

Top Topics

Dynamic Programming

Top Venues

Ann. Oper. Res.

Adv. Oper. Res.

Appl. Math. Comput.

Publications

Marcos Escobar-Anel, Ben Spies, Rudi Zagst
Optimal consumption and investment in general affine GARCH models. OR Spectr. 46 (3) (2024)
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) (2022)
Yichen Zhu, Marcos Escobar-Anel
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. Appl. Math. Comput. 418 (2022)
Marcos Escobar-Anel, Maximilian Keller, Rudi Zagst
Optimal HARA Investments with Terminal VaR Constraints. Adv. Oper. Res. 2022 (2022)
Marcos Escobar-Anel
A dynamic programming approach to path-dependent constrained portfolios. Ann. Oper. Res. 315 (1) (2022)
Marcos Escobar-Anel, Javad Rastegari, Lars Stentoft
Option pricing with conditional GARCH models. Eur. J. Oper. Res. 289 (1) (2021)