Publications

Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit (with Erhan Bayraktar, Christoph Belak and Sören Christensen), to appear in SIAM Journal on Control and Optimization (2022).

Endogenous Habits and Equilibrium Asset Prices (with Holger Kraft and André Meyer-Wehmann), Journal of Economic Behavior and Organization 197: 279-300 (2022). DOI: 10.1016/j.jebo.2022.03.005.

Optimal Investment for Retail Investors (with Christoph Belak and Lukas Mich), Mathematical Finance 32: 555-594 (2022). DOI: 10.1111/mafi.12336.

Portfolio Optimization with Optimal Expected Utility Risk Measures (with Sebastian Geissel, Holger Graf and Julia Herbinger), Annals of Operations Research 309: 59-77 (2022). DOI: 10.1007/s10479-021-04403-7.

Branching Diffusions with Jumps and Valuation with Systemic Counterparties (with Christoph Belak and Daniel Hoffmann), Journal of Computational Finance 25: 51-86 (2021). DOI: 10.21314/JCF.2021.011.

Continuous-Time Mean Field Games with Finite State Space and Common Noise (with Christoph Belak and Daniel Hoffmann), Applied Mathematics and Optimization 84: 3173-3216 (2021). DOI: 10.1007/s00245-020-09743-7.

The Affine Rational Potential Model (with The Anh Nguyen), International Journal of Theoretical and Applied Finance 24: 2150031 (2021). DOI: 10.1142/s021902492150031x.

Dynamic Asset Allocation with Relative Wealth Concerns in Incomplete Markets (with Holger Kraft and André Meyer-Wehmann), Journal of Economic Dynamics and Control 113: 103857 (2020). DOI: 10.1016/j.jedc.2020.103857.

Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs (with Yaroslav Melnyk and Johannes Muhle-Karbe), Mathematical Finance 30: 1135-1167 (2020). DOI: 10.1111/mafi.12245.

Implied Risk Aversion: An Alternative Rating System for Retail Structured Products (with Holger Fink, Sebastian Geissel and Jörn Saß), Review of Derivatives Research 22: 357-387 (2019). DOI: 10.1007/s11147-018-9151-0.

Optimal Expected Utility Risk Measures (with Sebastian Geissel and Jörn Saß), Statistics & Risk Modeling 35: 73-87 (2018). DOI: 10.1515/strm-2017-0027.

Generalized Pareto Processes and Liquidity (with Sascha Desmettre, Johan de Kock and Peter Ruckdeschel), Quantitative Finance 18: 1327-1343 (2018). DOI: 10.1080/14697688.2017.1410214.

Backward Nonlinear Expectation Equations (with Christoph Belak and Thomas Seiferling), Mathematics and Financial Economics 12: 111-134 (2018). DOI: 10.1007/s11579-017-0199-7.

Small-Cost Asymptotics for Long-Term Growth Rates in Incomplete Markets (with Yaroslav Melnyk), Mathematical Finance 28: 668-711 (2018). DOI: 10.1111/mafi.12152.

Optimal Portfolios when Variances and Covariances Can Jump (with Nicole Branger, Matthias Muck and Stefan Weisheit), Journal of Economic Dynamics and Control 85: 59-89 (2017). DOI: 10.1016/j.jedc.2017.09.008.

Stochastic Impulse Control with Regime-Switching Dynamics (with Yaroslav Melnyk and Ralf Korn), European Journal of Operational Research 260: 1024-1042 (2017). DOI: 10.1016/j.ejor.2016.12.029.

Interbank Interest Rates: Funding Liquidity Risk and XIBOR Basis Spreads (with Janek Gallitschke and Stefanie Seifried), Journal of Banking and Finance 78: 142-152 (2017). DOI: 10.1016/j.jbankfin.2017.01.002.

A General Verification Result for Stochastic Impulse Control Problems (with Christoph Belak and Sören Christensen), SIAM Journal on Control and Optimization 55: 627-649 (2017). DOI: 10.1137/16m1082822.

Optimal Consumption and Investment with Epstein-Zin Recursive Utility (with Holger Kraft and Thomas Seiferling), Finance and Stochastics 21: 187-226 (2017). DOI: 10.1007/s00780-016-0316-0.

Consumption Habits and Humps (with Holger Kraft, Claus Munk and Sebastian Wagner), Economic Theory 64: 305-330 (2017). DOI: 10.1007/s00199-016-0984-1.

Hedging with Small Uncertainty Aversion (with Sebastian Herrmann and Johannes Muhle-Karbe), Finance and Stochastics 21: 1-64 (2017). DOI: 10.1007/s00780-016-0309-z.

Estimating Discrete Dividends by No-Arbitrage (with Sascha Desmettre and Sarah Grün), Quantitative Finance 17: 261-274 (2017). DOI: 10.1080/14697688.2016.1176239.

Optimal Asset Allocation with Fixed-Term Securities (with Sascha Desmettre), Journal of Economic Dynamics and Control 66: 1-19 (2016). DOI: 10.1016/j.jedc.2016.03.001.

When Do Jumps Matter for Portfolio Optimization? (with Marius Ascheberg, Nicole Branger and Holger Kraft), Quantitative Finance 16: 1297-1311 (2016). DOI: 10.1080/14697688.2015.1131844.

The Multi-Curve Potential Model (with The Anh Nguyen), International Journal of Theoretical and Applied Finance 18: 150049 (2015). DOI: 10.1142/s0219024915500491.

Worst-Case Consumption-Portfolio Optimization (with Sascha Desmettre and Ralf Korn), International Journal of Theoretical and Applied Finance 18: 150004 (2015). DOI: 10.1142/s0219024915500041.

Robust Worst-Case Optimal Investment (with Sascha Desmettre, Peter Ruckdeschel and Ralf Korn), OR Spectrum 37: 677-701 (2015). DOI: 10.1007/s00291-014-0370-y.

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility (with Holger Kraft), Journal of Economic Theory 151: 528-550 (2014). DOI: 10.1016/j.jet.2013.12.007.

Insurance Markets and Unisex Tariffs: Is the European Court of Justice improving or destroying welfare? (with Jörn Saß), Scandinavian Actuarial Journal 2014-3: 228-254 (2014). DOI: 10.1080/03461238.2012.683450.

A Concise Characterization of Optimal Consumption with Logarithmic Preferences (with Ralf Korn), International Journal of Theoretical and Applied Finance 16: 1350035 (2013). DOI: 10.1142/s0219024913500350.

Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets (with Holger Kraft and Mogens Steffensen), Finance and Stochastics 17: 161-196 (2013). DOI: 10.1007/s00780-012-0184-1.

Optimal Consumption and Investment for a Large Investor: An Intensity-Based Control Framework (with Michael Busch and Ralf Korn), Mathematical Finance 23: 687-717 (2013). DOI: 10.1111/j.1467-9965.2012.00528.x.

Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach, Mathematics of Operations Research 35: 559-579 (2010). DOI: 10.1287/moor.1100.0459.

Foundations of Continuous-Time Recursive Utility: Differentiability and Normalization of Certainty Equivalents (with Holger Kraft), Mathematics and Financial Economics 3: 115-138 (2010). DOI: 10.1007/s11579-010-0030-1.

Optimal Investment with Deferred Capital Gains Taxes, Mathematical Methods of Operations Research 71: 181-199 (2010). DOI: 10.1007/s00186-009-0291-8.

Asset Allocation and Liquidity Breakdowns: What if your broker does not answer the phone? (with Peter Diesinger and Holger Kraft), Finance and Stochastics 14: 343-374 (2010). DOI: 10.1007/s00780-008-0085-5.

A Worst-Case Approach to Continuous-Time Portfolio Optimization (with Ralf Korn), Radon Series on Computational and Applied Mathematics 8: 327-345 (2009). DOI: 10.1515/9783110213140.327.