2 citations · 3 across the 3 of their papers we have counts for
3 papers
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…
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…