Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Optimal consumption and investment in general affine GARCH models
OR Spectrum
2024

Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Mean–variance optimization under affine GARCH: A utility-based solution
Finance Research Letters
2024
59
104749

Escobar-Anel, Marcos;Spies, Ben;Zagst, Rudi
Do Jumps Matter in Discrete-Time Portfolio Optimization?
2023

Escobar-Anel, Marcos;Spies, Ben;Zagst, Rudi
Expected Utility Theory on General Affine GARCH Models
Applied Mathematical Finance
2021
28
6
477-507