3 citations · 4 across the 3 of their papers we have counts for
3 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…
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…
Portfolio Optimization in Affine Models with Markov Switching
Marcos Escobar, Daniela Neykova, Rudi Zagst
We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine s…