Option pricing with conditional GARCH models. - Marcos Escobar-Anel; Javad Rastegari; Lars Stentoft (Eur. J. Oper. Res., 2021)

Optimal HARA Investments with Terminal VaR Constraints. - Marcos Escobar-Anel; Maximilian Keller; Rudi Zagst (Adv. Oper. Res., 2022)

Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. - Yichen Zhu; Marcos Escobar-Anel (Appl. Math. Comput., 2022)

A dynamic programming approach to path-dependent constrained portfolios. - Marcos Escobar-Anel (Ann. Oper. Res., 2022)

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation. - Marcos Escobar-Anel; Michel Kschonnek; Rudi Zagst (Math. Methods Oper. Res., 2022)

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

Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model. - Marcos Escobar-Anel; Yevhen Havrylenko; Rudi Zagst (Ann. Oper. Res., 2025)