Marcos Escobar
University of Western Ontario
64 Papers
154 Citations
Marcos Escobar is an academic researcher from University of Western Ontario. The author has contributed to research in topics: Stochastic volatility & Portfolio. The author has an hindex of 10, co-authored 59 publications. Previous affiliations of Marcos Escobar include Ryerson University & Goethe University Frankfurt.
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Papers
Robust portfolio choice with derivative trading under stochastic volatility
TL;DR: In this article, the optimal portfolio for an ambiguity averse investor who has access to stock and derivatives markets is determined for a stochastic volatility jump-diffusion process and the investor can have different levels of uncertainty about the diffusion parts of the stock and its volatility.
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Portfolio optimization in affine models with markov switching
TL;DR: A stochastic-factor financial model wherein the asset price and the stochastically-factor processes depend on an observable Markov chain and exhibit an affine structure is considered, and a separable ansatz is proposed that leads to explicit solutions in the presence of leverage.
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Dynamic derivative strategies with stochastic interest rates and model uncertainty
TL;DR: In this paper, a closed-form solution to the investment problem of an ambiguity averse investor in complete and incomplete markets with stochastic changes in volatility and interest rates was obtained.
27
Optimal investment under multi-factor stochastic volatility
TL;DR: In this article, a model for multivariate intertemporal portfolio choice in complete and incomplete markets with a multi-factor stochastic covariance matrix of asset returns is considered and optimal investment strategies are derived in closed form.
26
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
TL;DR: In this paper, the optimal multivariate ntertemporal portfolio for an ambiguity averse investor, who has access to stocks and derivative markets, in closed form, is provided, and conditions for a well-behaved solution in general and verification theorems for the incomplete market case are provided.
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