Working Papers

Optimal Expected Utility Risk Measures (with Sebastian Geissel and Jörn Saß), working paper (2017), available via SSRN.

Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs (with Johannes Muhle-Karbe and Yaroslav Melynk), working paper (2017), available via SSRN.

Generalized Pareto Processes and Liquidity (with Sascha Desmettre, Johan de Kock and Peter Ruckdeschel), working paper (2017), available via SSRN.

Epstein-Zin Stochastic Differential Utility: Existence, Uniqueness, Concavity, and Utility Gradients (with Thomas Seiferling), working paper (2016), available via SSRN.

Optimal Portfolios when Variances and Covariances Can Jump (with Nicole Branger, Matthias Muck and Stefan Weisheit), working paper (2016), available via SSRN.

Consumption and Wage Humps in a Life-Cycle Model with Education (with Holger Kraft, Claus Munk and Mogens Steffensen), working paper (2015), available via SSRN.