Björn Bick

Goethe University Frankfurt

Grüneburgplatz 1

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

3

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CROSSREF CITATIONS

4

Scholarly Papers (3)

Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies

Number of pages: 44 Posted: 11 Mar 2009 Last Revised: 17 Apr 2012
Björn Bick, Holger Kraft and Claus Munk
Goethe University Frankfurt, Goethe University Frankfurt and Copenhagen Business School
Downloads 370 (86,364)
Citation 7

Abstract:

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Optimal consumption and investment, numerical solution, labor income, incomplete markets, artificially unconstrained markets, welfare loss

Investment, Income, and Incompleteness

Number of pages: 30 Posted: 16 Feb 2009
Björn Bick, Holger Kraft and Claus Munk
Goethe University Frankfurt, Goethe University Frankfurt and Copenhagen Business School
Downloads 105 (279,347)
Citation 3

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Optimal consumption and investment, labor income, incomplete markets, artificially completed markets, welfare loss

2.

Hedging Structured Credit Products During the Credit Crisis: A Horse Race of 10 Models

Number of pages: 59 Posted: 08 Dec 2011 Last Revised: 31 Dec 2012
Marius Ascheberg, Björn Bick and Holger Kraft
Goethe University Frankfurt, Goethe University Frankfurt and Goethe University Frankfurt
Downloads 320 (102,584)

Abstract:

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Structured products, P&L analysis, Hedging, Bottom-up models, Top-down models, Copulas, Self-exciting models

3.

Default and Idiosyncratic Risk Anomalies Revisited

Number of pages: 42 Posted: 15 Nov 2011
Goethe University Frankfurt, University of Frankfurt, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 246 (135,346)

Abstract:

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Risk Premium, Default Risk, Fama-French Regressions, IVOL anomaly