3 citations · 5 across the 3 of their papers we have counts for
3 papers
q-fin.PM2023★ 3 cited
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…
q-fin.PM2023★ 2 cited
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…
q-fin.PM2023
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…