Holger Fink

Nuertingen-Geislingen University of Applied Sciences

Professor

Sigmaringer Strasse 25

Nuertingen, 72622

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

386

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Implied Risk Aversion: An Alternative Rating System for Retail Structured Products

Number of pages: 28 Posted: 28 Aug 2015 Last Revised: 14 Dec 2018
Nuertingen-Geislingen University of Applied Sciences, University of Applied Sciences Brandenburg, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 312 (118,790)
Citation 2

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structured products, risk measures, optimal expected utility, implied risk aversion

2.

Portfolio Optimization with Optimal Expected Utility Risk Measures

Number of pages: 23 Posted: 30 Jun 2019 Last Revised: 19 May 2020
Nuertingen-Geislingen University of Applied Sciences, University of Applied Sciences Brandenburg, affiliation not provided to SSRN and University of Trier
Downloads 74 (383,069)
Citation 1

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portfolio optimization, risk measures, value at risk, optimal expected utility

3.

Conditional Distributions of Mandelbrot–Van Ness Fractional Lévy Processes and Continuous‐Time ARMA-GARCH‐Type Models with Long Memory

Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 30-45, 2016
Number of pages: 16 Posted: 22 Dec 2015
Holger Fink
Nuertingen-Geislingen University of Applied Sciences
Downloads 0 (787,981)
Citation 1
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Abstract:

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Fractional Lévy processes, Mandelbrot–Van Ness kernel, long memory, forecasting, FICARMA, FIECOGARCH