Working Papers

Dynamic Asset Allocation with Relative Wealth Concerns (with André Meyer-Wehmann and Holger Kraft), working paper (2019), available via SSRN.

Portfolio Optimization with Optimal Expected Utility Risk Measures (with Holger Fink, Julia Herbinger and Sebastian Geissel), working paper (2019), 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.

Epstein-Zin Stochastic Differential Utility: Existence, Uniqueness, Concavity, and Utility Gradients (with Thomas Seiferling), 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.