Zobrazeno 1 - 10
of 174
pro vyhledávání: '"Marcos Escobar"'
Publikováno v:
Operations Research Perspectives, Vol 13, Iss , Pp 100312- (2024)
This paper studies a discrete-time portfolio optimization problem, wherein the underlying risky asset follows a Lévy GARCH model. Besides a Gaussian noise, the framework allows for various jump increments, including infinite-activity jumps. Using a
Externí odkaz:
https://doaj.org/article/2c81a5612c11448ca1bf9418936309dd
Publikováno v:
Mathematics, Vol 12, Iss 11, p 1611 (2024)
This paper develops a methodology to accommodate uncertainty in a GARCH model with the goal of improving portfolio decisions via Bayesian learning. Given the abundant evidence of uncertainty in estimating expected returns, we focus our analyses on th
Externí odkaz:
https://doaj.org/article/104ac398bb2b4290bb2d53b8a966c767
Autor:
Marcos Escobar-Anel, Yiyao Jiao
Publikováno v:
Risks, Vol 12, Iss 2, p 33 (2024)
This study addresses the crucial but under-explored topic of ambiguity aversion, i.e., model misspecification, in the area of environmental, social, and corporate governance (ESG) within portfolio decisions. It considers a risk- and ambiguity-averse
Externí odkaz:
https://doaj.org/article/be2320ee08184de88456bb5c15cbd334
Autor:
Wei Li Fan, Marcos Escobar Anel
Publikováno v:
Mathematics, Vol 12, Iss 3, p 440 (2024)
This study investigates ambiguity aversion within the framework of a utility-maximizing investor under a modified constant-elasticity-of-volatility (M-CEV) model for the underlying asset. We derive closed-form solutions of a non-affine type for the o
Externí odkaz:
https://doaj.org/article/59e4821964f74badbffd20951b9b94a7
Autor:
Yuyang Cheng, Marcos Escobar-Anel
Publikováno v:
Mathematics, Vol 11, Iss 18, p 4020 (2023)
This manuscript derives optimal consumption and investment strategies for risk-averse investors under the 4/2 stochastic volatility class of models. We work under an expected utility (EUT) framework and consider a Constant Relative Risk Aversion (CRR
Externí odkaz:
https://doaj.org/article/ade3597a0775449e8847b041e6745dc8
Publikováno v:
Operations Research Perspectives, Vol 9, Iss , Pp 100216- (2022)
This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the ex
Externí odkaz:
https://doaj.org/article/06d4b7a39199408bbbf545f5510457e6
Publikováno v:
Advances in Operations Research, Vol 2022 (2022)
This paper studies the impact of Value at Risk (VaR) constraints on investors with hyperbolic absolute risk aversion (HARA) risk preferences. We derive closed-form representations for the “triplet”: optimal investment, terminal wealth, and value
Externí odkaz:
https://doaj.org/article/7a4b036163a24615ac938a654d227872
Autor:
Marcos Escobar-Anel, Weili Fan
Publikováno v:
Risks, Vol 11, Iss 2, p 30 (2023)
This paper introduces and studies a new family of diffusion models for stock prices with applications in portfolio optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the SEV-
Externí odkaz:
https://doaj.org/article/557e20bd3bcc4322abf2b1fd9befbeae
Autor:
Marcos Escobar-Anel, Zhenxian Gong
Publikováno v:
Risks, Vol 9, Iss 8, p 141 (2021)
In this paper, we propose a new multivariate mean-reverting model incorporating state-of-the art 4/2 stochastic volatility and a convenient principal component stochastic volatility (PCSV) decomposition for the stochastic covariance. We find a quasi
Externí odkaz:
https://doaj.org/article/3c2575d9230f4b3486f403d7da5c835b
Autor:
Marcos Escobar, Gonzalo Márquez, Blanca Guerrero, Patricia Marín, Carlos Boente, Antonio Bernardo-Sánchez, Emilio Romero, Albert Permanyer
Publikováno v:
Energies, Vol 13, Iss 21, p 5615 (2020)
The organic geochemical features of 30 sampled oils from the northern Bolivar Coastal Complex (Lake Maracaibo Basin, NW Venezuela) were examined by combining carbon isotope, classical biomarker, and extended diamondoid analyses to clarify source faci
Externí odkaz:
https://doaj.org/article/6f69936830374372b338b3bae7c74d53