Faculty of Economics and Business Administration Publications Database

Author

Prof. Dr. Holger Kraft


Department

  • Finance

Chair

  • UBS Endowed Chair of Asset Pricing

Academic / Professional Positions

  • Since 2008:   Professor, Goethe University Frankfurt, Germany
  • 2004 - 2008:  Assistant Professor, TU Kaiserslautern, Germany
  • 2001 - 2004:  Research Assistant, Fraunhofer ITWM, Kaiserslautern, Germany

Education

  • 2002:  Dr. rer. nat., TU Kaiserslautern, Germany, Thesis: Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

Research Interests

  • Asset Pricing
  • Portfolio Management
  • Risk Management
  • Modeling of Credit Risk

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Author Publications

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
Foundations of Continous-time Recursive Utility: Differentiability and Normalization of Certain Equivalents
Mathematics and Financial Economics
2010
Kraft, Holger
Seifried, Frank Thomas
Asset Allocation with Contagion and Explicit Bankruptcy Procedures
Journal of Mathematical Economics
2009
Kraft, Holger
Steffensen, Mogens
Optimal Portfolios with Stochastic Short Rate: Pitfalls when the Short Rate is Non-Gaussian or the Market Price of Risk is Unbounded
International Journal of Theoretical and Applied Finance
2009
Kraft, Holger
What is the Impact of Stock-Market Contagion on an Investor´s Portfolio Choise?
Insurance: Mathematics and Economics
2009 Branger, Nicole
Kraft, Holger
Meinerding, Christoph
How to Invest Optimally in Corporate Bonds
Journal of Economic Dynamics and Control
Selected
2008
Kraft, Holger
Steffensen, Mogens
The Policyholder’s Static and Dynamic Decision Making of Life Insurance and Pension Payments
Blätter der DGVFM
2008
Kraft, Holger
Steffensen, Mogens
Continous-Time Delegated Portfolio Management with Homogeneous Expectations
Financial Markets and Portfolio Management
2008 Korn, Ralf
Kraft, Holger
Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach
ASTIN Bulletin
2008
Kraft, Holger
Steffensen, Mogens
Bankruptcy, Counterpart Risk, and Contagion
Review of Finance
Selected
2007
Kraft, Holger
Steffensen, Mogens
Bond Durations: Corporates vs. Treasuries
Journal of Banking and Finance
Selected
2007
Kraft, Holger
Munk, Claus
Pitfalls in Static Superhedging of Barrier Option
Finance Research Letters
2007
Kraft, Holger
Portfolio Problems Stopping at First Hitting Time with Application to Default Risk
Mathematical Methods of Operations Research
2006
Kraft, Holger
Steffensen, Mogens
Optimal Portfolios and Heston''s Stochastic Volatility Model: An Explicit Solution for Power Utility
Quantitative Finance
2005
Kraft, Holger
On the Stability of Continuos-Time Portfolio Problems with Stochastic Opportunity Set
Mathematical Finance
2004 Korn, Ralf
Kraft, Holger
Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Springer Verlag
2004
Kraft, Holger
Optimal Portfolios with Defaultable Securities - A Firm Value Approach
International Journal of Theoretical and Applied Finance
2003 Ralf, Korn
Kraft, Holger
Elasticity Approach to Portfolio Optimization
Mathematical Methods of Operations Research
2003
Kraft, Holger
Prinzipal-Agent-Beziehung: first-best, second-best und third-best
Kredit und Kapital
2001
Kraft, Holger
Reichling, Peter
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
SIAM Journal on Control and Optimization
2001 Korn, Ralf
Kraft, Holger