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Marcos Escobar

Ryerson University

350 Victoria Street

Toronto, Ontario M5B 2K3

Canada

  • Ryerson University

SCHOLARLY PAPERS

7

DOWNLOADS

869

TOTAL CITATIONS

12

Scholarly Papers (7)

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1.

Robust Portfolio Choice with Derivatives Trading Under Stochastic Volatility

Number of pages: 36 Posted: 09 Dec 2014
Marcos Escobar, Sebastian Ferrando and Alexey Rubtsov
Ryerson University, Ryerson University and Ryerson University
Downloads 240 (320,573)
Citation 10

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Robust portfolio choice, Ambiguity, Stochastic volatility, Welfare loss

2.

Optimal Investment Under Multi-Factor Stochastic Volatility

Number of pages: 48 Posted: 29 Oct 2015
Marcos Escobar, Sebastian Ferrando and Alexey Rubtsov
Ryerson University, Ryerson University and Ryerson University
Downloads 235 (324,656)

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Multivariate portfolio choice, Stochastic covariance, Welfare loss

3.

Portfolio Choice with Stochastic Interest Rates and Learning About Stock Return Predictability

Number of pages: 35 Posted: 19 Nov 2014
Marcos Escobar, Sebastian Ferrando and Alexey Rubtsov
Ryerson University, Ryerson University and Ryerson University
Downloads 232 (330,287)

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Portfolio choice, Return predictability, Learning, Welfare loss

4.

International Portfolio Choice Under Multi-Factor Stochastic Volatility

Number of pages: 44 Posted: 01 Jan 2016
Marcos Escobar, Sebastian Ferrando and Alexey Rubtsov
Ryerson University, Ryerson University and Ryerson University
Downloads 162 (461,984)
Citation 2

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International portfolio choice, Forex modelling, Stochastic covariance, Welfare loss analysis

5.

Behavioral Portfolio Insurance Strategies

Financial Markets and Portfolio Management
Posted: 05 Aug 2019 Last Revised: 20 Jul 2020
Marcos Escobar, Andreas Lichtenstern and Rudi Zagst
Ryerson University, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance

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6.

Behavioral Portfolio Choice under Hyperbolic Absolute Risk Aversion

International Journal of Theoretical and Applied Finance
Posted: 05 Aug 2019 Last Revised: 30 Oct 2021
Marcos Escobar, Andreas Lichtenstern and Rudi Zagst
Ryerson University, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance

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7.

Single and Double Black-Cox for Pricing Risky Debt and Equity with Reorganization

Economic Modelling, Vol. 29, pp. 910-917, 2009
Posted: 04 Mar 2008 Last Revised: 11 Sep 2013
Isabel Abinzano, Marcos Escobar, Luis A. Seco and Pablo Olivares
Public University of Navarre, Ryerson University, University of Toronto and Ryerson University

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First passage model, reorganization, liquidation