3 citations · 8 across the 6 of their papers we have counts for
7 papers
Optimal fees in hedge funds with first-loss compensation
Marcos Escobar-Anel, Yevhen Havrylenko, Rudi Zagst
Hedge fund managers with the first-loss scheme charge a management fee, a performance fee and guarantee to cover a certain amount of investors' potential losses. We study how parti…
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
Marcos Escobar-Anel, Yiyao Jiao
This paper proposes an expected multivariate utility analysis for ESG investors in which green stocks, brown stocks, and a market index are modeled in a one-factor, CAPM-type struc…
Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst
We consider a portfolio optimisation problem for a utility-maximising investor who faces convex constraints on his portfolio allocation in Heston's stochastic volatility model. We…
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics
Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst
We study the expected utility portfolio optimization problem in an incomplete financial market where the risky asset dynamics depend on stochastic factors and the portfolio allocat…
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Marcos Escobar-Anel, Yevhen Havrylenko, Rudi Zagst
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To…
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Marcos Escobar-Anel, Yevhen Havrylenko, Michel Kschonnek +1
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products. Providing an insurer with an opportunity to shi…
Closed-form portfolio optimization under GARCH models
Marcos Escobar-Anel, Maximilian Gollart, Rudi Zagst
This paper develops the first closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant r…