Faculty of Economics and Business Administration Publications Database

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Consumption-portfolio choice with preferences for cash
Journal of Economic Dynamics and Control
Selected
2019
Kraft, Holger
Weiss, Farina
Predictors and portfolios over the life cycle
Journal of Banking and Finance
Selected
2019
Kraft, Holger
Munk, Claus
Weiss, Farina
Predictors and portfolios over the life cycle
Journal of Banking and Finance
Selected
2019
Kraft, Holger
Munk, Claus
Weiss, Farina
Consumption-portfolio choice with preferences for cash
Journal of Economic Dynamics and Control
Selected
2019
Kraft, Holger
Weiss, Farina
Housing habits and their implications for life-cycle consumption and investment
Review of Finance
Selected
2018
Kraft, Holger
Munk, Claus
Wagner, Sebastian
Leaning against the wind: debt financing in the face of aversity
Financial Management
2018 Brennan, Michael
Kraft, Holger
Growth options and firm valuation
European Financial Management
2018
Kraft, Holger
Schwartz, Eduardo
Weiss, Farina
Life insurance demand under health shock risk
Journal of Risk and Insurance
Selected
2017 Hambel, Christoph
Kraft, Holger
Schendel, Lorenz
Steffensen, Mogens
Optimal consumption and investment with Epstein–Zin recursive utility
Finance and Stochastics
2017
Kraft, Holger
Seiferling, Thomas
Seifried, Frank Thomas
Consumption habits and humps
Economic Theory
2017
Kraft, Holger
Seifried, Frank Thomas
Munk, Claus
Wagner, Sebastian
The Dynamics of Crises and the Equity Premium
Review of Financial Studies
Selected
2016 Branger, Nicole
Kraft, Holger
Meinerding, Christoph
When do jumps matter for portfolio optimization?
Quantitative Finance
2016 Ascheberg, Marius
Branger, Nicole
Kraft, Holger
Seifried, Frank Thomas
Cash Flow Multipliers and Optimal Investment Decisions
European Financial Management
2015
Kraft, Holger
Schwartz, Eduardo
Partial information about contagion risk, self-exciting processes and portfolio optimization
Journal of Economic Dynamics and Control
Selected
2014 Branger, Nicole
Kraft, Holger
Meinerding, Christoph
Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
Journal of Economic Theory
Selected
2014
Kraft, Holger
Seifried, Frank Thomas
Redesigning ratings: assessing the discriminatory power of credit scores under censoring
Journal of Credit Risk
2014
Kraft, Holger
Kroisandt, Gerald
Müller, Marlene
Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices
Real Estate Economics
2014 Ascheberg, Marius
Jarrow, Robert
Kraft, Holger
Yildirim, Yildiray
Asset Allocation over the Life Cycle: How much do Taxes Matter?
Journal of Economic Dynamics and Control
Selected
2013 Fischer, Marcel
Kraft, Holger
Munk, Claus
A Dynamic Programming Approach to Constrained Portfolios
European Journal of Operational Research EJOR
Selected
2013
Kraft, Holger
Steffensen, Mogens
Hedging Structured Credit Products During the Credit Crisis: A Horse Race of 10 Models
Journal of Banking and Finance
Selected
2013 Ascheberg, Marius
Bick, Björn
Kraft, Holger
Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies
Management Science
Selected
2013 Bick, Björn
Kraft, Holger
Munk, Claus
Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets
Finance and Stochastics
2013
Kraft, Holger
Seifried, Frank Thomas
Steffensen, Mogens
Optimal Housing, Consumption, and Investment Decisions over the Life-Cycle
Management Science
Selected
2011
Kraft, Holger
Munk, Claus
Large Traders and Illiquid Options: Hedging vs. Manipulation
Journal of Economic Dynamics and Control
Selected
2011
Kraft, Holger
Kühn, Christoph
Asset Allocation and Liquidity Breakdowns: What if your Brocker does not Answer the Phone?
Finance and Stochastics
2010 Diesinger, Peter
Kraft, Holger
Seifried, Frank Thomas