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M

Marcos Escobar‐Anel

western university (university of western ontario)

11H指数
94论文数
339被引数
收录论文 24
发表时间
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A mean reverting affine GARCH model for commodities商品市场的均值反转仿射GARCH模型
errEnergy Economics
IF14.2
err2025-12-04
err0
PREAI
errMarcos Escobar-Anel; Kaize Pan; Lars Stentoft
err分享
err收藏
The power of human capital in lifecycles. Insights from a flexible framework.人力资本在生命周期中的力量。来自一个灵活框架的见解。
errScandinavian Actuarial Journal
IF1.4
err2025-12-01
err0
PREAI
errEscobar-Anel, Marcos; Khemka, Gaurav; Lim, William
err分享
err收藏
Closed-Form Optimal Investment Under Generalized GARCH Models
errEUROPEAN FINANCIAL MANAGEMENT
IF3.1
err2025-11-01
err0
errOAAI
errEscobar-anel, Marcos; Lausser, Tobias; Zagst, Rudi
err分享
err收藏
The Repayment Structure of Agricultural Loans under a Full Repayment Constraint在完全还款约束下的农业贷款偿还结构
errJOURNAL OF AGRICULTURAL AND APPLIED ECONOMICS
IF0
err2025-10-01
err0
PREAI
errEscobar-Anel, Marcos; Khemka, Gaurav; Xu, Zheng
err分享
err收藏
Mean–variance optimization of terminal wealth and consumption终端财富与消费的均值-方差优化
errFinance Research Letters
IF6.9
err2025-09-15
err0
PREAI
errMarcos Escobar-Anel; Gaurav Khemka; Rudi Zagst
err分享
err收藏
The Generative Adversarial Approach: A Cautionary Tale of Finite Samples生成对抗方法：有限样本的警示故事
errALGORITHMS
IF2.1
err2025-09-05
err0
errOAAI
errEscobar-Anel, Marcos; Jiao, Yiyao
err分享
err收藏
Analytical fixed income pricing in discrete time: A new family of models离散时间下的固定收益定价分析：一个新模型家族
errGlobal Finance Journal
IF5.5
err2025-08-31
err0
PREAI
errMarcos Escobar-Anel; Lars Stentoft; Xize Ye
err分享
err收藏
A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization一种广义波动率和相关性比率常数弹性模型（CEVC）：经验证据及其在投资组合优化中的应用
errECONOMIC MODELLING
IF4.7
err2025-06-01
err0
PREAI
errEscobar-Anel, M
err分享
err收藏
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications
errNORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
IF3.9
err2025-03-01
err0
PREAI
errEscobar-Anel, Marcos; Yang, Yu-Jung; Zagst, Rudi
err分享
err收藏
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
errANNALS OF OPERATIONS RESEARCH
IF4.5
err2025-01-31
err0
errOAAI
errEscobar-Anel, Marcos; Havrylenko, Yevhen; Zagst, Rudi
err分享
err收藏
The shifted GARCH model with affine variance: Applications in pricing
errFINANCE RESEARCH LETTERS
IF6.9
err2025-01-01
err0
errOAAI
errEscobar-Anel, Marcos; Hou, Yangyang; Stentoft, Lars
err分享
err收藏
Do jumps matter in discrete-time portfolio optimization?
errOPERATIONS RESEARCH PERSPECTIVES
IF3.7
err2024-12-01
err1
errOAAI
errEscobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
err分享
err收藏
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models
errFINANCE RESEARCH LETTERS
IF6.9
err2024-11-01
err0
errOAAI
errEscobar-Anel, Marcos; Stentoft, Lars; Ye, Xize
err分享
err收藏
Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis
errCHINA FINANCE REVIEW INTERNATIONAL
IF7.6
err2024-07-22
err0
PREAI
errEscobar-Anel, Marcos; Jiao, Yiyao
err分享
err收藏
Mean-variance optimization under affine GARCH: A utility-based solution
errFINANCE RESEARCH LETTERS
IF6.9
err2024-01-01
err1
PREAI
errEscobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
err分享
err收藏
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
errINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
IF9.8
err2023-05-01
err1
PREAI
errEscobar-Anel, Marcos; Rastegari, Javad; Stentoft, Lars
err分享
err收藏
A class of portfolio optimization solvable problems
errFINANCE RESEARCH LETTERS
IF6.9
err2023-03-01
err1
PREAI
errCheng, Yuyang; Escobar-Anel, Marcos
err分享
err收藏
Multivariate risk aversion utility, application to ESG investments
errNORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
IF3.9
err2022-11-01
err8
PREAI
errEscobar-Anel, Marcos
err分享
err收藏
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4 / 2 models.
errAPPLIED MATHEMATICS AND COMPUTATION
IF3.4
err2022-04-01
err6
PREAI
errZhu, Yichen; Escobar-Anel, Marcos
err分享
err收藏
A dynamic programming approach to path-dependent constrained portfolios
errANNALS OF OPERATIONS RESEARCH
IF4.5
err2022-03-19
err3
PREAI
errEscobar-Anel, Marcos
err分享
err收藏

研究方向

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合作学者
合作期刊
R
Rudi Zagst
H 指数: 16 · 论文数: 195
L
Lars Stentoft
H 指数: 15 · 论文数: 105
Y
Y. Jeffrey Yang
H 指数: 12 · 论文数: 41
G
Gaurav Khemka
H 指数: 6 · 论文数: 56
Y
Yichen Zhu
H 指数: 4 · 论文数: 25
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