Working Papers

Probabilistic Representations of Nonlocal Nonlinear PDEs via Branching Diffusions with Jumps (with Christoph Belak and Daniel Hoffmann), working paper (2019), available via SSRN.

Optimal Investment for Retail Investors with Floored and Capped Costs (with Christoph Belak and Lukas Mich), working paper (2019), available via SSRN.

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.

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.