Holger Kraft

Goethe University Frankfurt

Faculty of Economics and Business

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

  • Goethe University Frankfurt

SCHOLARLY PAPERS

57

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174

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84

Scholarly Papers (57)

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1.

Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets

Number of pages: 32 Posted: 03 Jun 2010 Last Revised: 28 Jun 2011
Holger Kraft, Frank Thomas Seifried and Mogens Steffensen
Goethe University Frankfurt, University of Trier and University of Copenhagen
Downloads 770 (40,860)
Citation 12

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consumption-portfolio optimization, recursive utility, stochastic control approach, stochastic volatility, unspanned state process, Campbell-Shiller approximation

2.

Optimal Housing, Consumption, and Investment Decisions over the Life-Cycle

Number of pages: 63 Posted: 08 Mar 2008 Last Revised: 12 Jan 2011
Holger Kraft and Claus Munk
Goethe University Frankfurt and Copenhagen Business School
Downloads 692 (47,190)
Citation 13

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Housing, labor income, portfolio choice, life-cycle decisions, recursive utility

3.

Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores Under Censoring

Number of pages: 23 Posted: 04 Mar 2002 Last Revised: 04 Feb 2014
Holger Kraft, Gerald Kroisandt and Marlene Müller
Goethe University Frankfurt, Fraunhofer Gesellschaft, Institute for Industrial Mathematics (ITWM) and Beuth University of Applied Sciences Berlin
Downloads 658 (50,391)

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credit rating, credit score, discriminatory power, sample selection, Gini coefficient, accuracy ratio

4.

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Downloads 638 ( 52,520)
Citation 13

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

SAFE Working Paper No. 52
Number of pages: 43 Posted: 04 Jun 2014 Last Revised: 06 Jul 2016
Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
Goethe University Frankfurt, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 347 (108,477)
Citation 7

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consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Number of pages: 40 Posted: 15 Apr 2014 Last Revised: 04 Jul 2016
Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
Goethe University Frankfurt, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 291 (131,480)
Citation 5

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consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, FBSDE

5.

Growth Options and Firm Valuation

Downloads 541 ( 64,790)
Citation 5

Growth Options and Firm Valuation

Number of pages: 39 Posted: 05 Feb 2013 Last Revised: 17 Apr 2017
Holger Kraft, Eduardo S. Schwartz, Eduardo S. Schwartz and Farina Weiss
Goethe University Frankfurt, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 289 (132,904)

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Firm valuation, Real options, Volatility, R\&D expenses, PCA

Growth Options and Firm Valuation

SAFE Working Paper No. 6
Number of pages: 40 Posted: 27 Feb 2013 Last Revised: 17 Apr 2017
Holger Kraft, Eduardo S. Schwartz, Eduardo S. Schwartz and Farina Weiss
Goethe University Frankfurt, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 229 (167,407)

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Firm valuation, Real options, Volatility, R&D expenses, PCA

Growth Options and Firm Valuation

NBER Working Paper No. w18836
Number of pages: 42 Posted: 01 Mar 2013
Holger Kraft, Eduardo S. Schwartz, Eduardo S. Schwartz and Farina Weiss
Goethe University Frankfurt, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 21 (654,600)

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Growth Options and Firm Valuation

European Financial Management, Vol. 24, Issue 2, pp. 209-238, 2018
Number of pages: 30 Posted: 07 Mar 2018
Holger Kraft, Eduardo S. Schwartz, Eduardo S. Schwartz and Farina Weiss
Goethe University Frankfurt, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 2 (815,280)
Citation 3
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firm valuation, real options, volatility, R & D expenses, PCA

6.

Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?

Downloads 521 ( 67,801)

Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?

Number of pages: 45 Posted: 02 Jul 2013 Last Revised: 18 Jan 2015
Holger Kraft and Alexander Schmidt
Goethe University Frankfurt and Deutsche Bundesbank
Downloads 348 (108,148)

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Systemic risk, Value-at-risk, Equity options, Implied volatility, Panel vector autoregression

Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?

SAFE Working Paper No. 25
Number of pages: 47 Posted: 16 Jul 2013 Last Revised: 18 Jan 2015
Holger Kraft and Alexander Schmidt
Goethe University Frankfurt and Deutsche Bundesbank
Downloads 173 (216,732)

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Systemic risk, Value-at-risk, Equity options, Implied volatility, Panel vector autoregression

7.

The Dynamics of Crises and the Equity Premium

SAFE Working Paper No. 11
Number of pages: 48 Posted: 02 Jul 2010 Last Revised: 20 May 2015
Nicole Branger, Holger Kraft and Christoph Meinerding
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 515 (68,802)
Citation 5

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General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models

8.

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

Downloads 493 ( 72,583)
Citation 10

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 381 (97,576)
Citation 9

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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 112 (306,054)
Citation 3

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

9.

Housing Habits and Their Implications for Life-Cycle Consumption and Investment

Downloads 458 ( 79,410)
Citation 5

Housing Habits and Their Implications for Life-Cycle Consumption and Investment

Number of pages: 35 Posted: 20 Feb 2015 Last Revised: 26 Jan 2017
Holger Kraft, Claus Munk and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 269 (142,700)

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Habit Formation, Life-Cycle Household Decisions, Housing Expenditure Share, Consumption Hump, Stock Market Participation, Renting vs. Owning Home, Human Capital

Housing Habits and Their Implications for Life-Cycle Consumption and Investment

SAFE Working Paper No. 85
Number of pages: 37 Posted: 24 Feb 2015 Last Revised: 26 Jan 2017
Holger Kraft, Claus Munk and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 189 (200,515)
Citation 5

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Habit Formation, Life-Cycle Household Decisions, Housing Expenditure Share, Consumption Hump, Stock Market Participation, Renting vs. Owning Home, Human Capital

10.

Bankruptcy, Counterparty Risk, and Contagion

Number of pages: 65 Posted: 16 May 2006
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 443 (82,551)
Citation 4

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default risk, financial distress, default correlation, contagion, Markov chain

11.

Large Traders and Illiquid Options: Hedging vs. Manipulation

Number of pages: 34 Posted: 06 Oct 2009 Last Revised: 24 May 2011
Holger Kraft and Christoph Kühn
Goethe University Frankfurt and Goethe University Frankfurt
Downloads 429 (85,730)
Citation 3

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Price impact, Illiquidity, Option pricing, Portfolio choice, Manipulation

12.

An ABC of Portfolio Choice: Asset Allocation With Bankruptcy and Contagion

EFA 2007 Ljubljana Meetings Paper
Number of pages: 37 Posted: 30 Jul 2006
Mogens Steffensen and Holger Kraft
University of Copenhagen and Goethe University Frankfurt
Downloads 427 (86,189)

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portfolio optimization, liquidation, reorganization, default, finite state Markov chain

13.

How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach

Number of pages: 34 Posted: 17 May 2005
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 392 (95,107)
Citation 1

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portfolio optimization, stochastic interest rates, default risk, recovery risk, beta distribution, joint default factor

14.

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

Downloads 385 ( 97,224)
Citation 8

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

Number of pages: 21 Posted: 29 Jun 2011 Last Revised: 12 May 2013
Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt and University of Trier
Downloads 205 (186,122)
Citation 9

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stochastic differential utility, recursive utility, convergence, backward stochastic differential equation

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

SAFE Working Paper No. 17
Number of pages: 23 Posted: 13 May 2013
Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt and University of Trier
Downloads 180 (209,370)

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stochastic diff erential utility, recursive utility, convergence, backward stochastic di fferential equation

15.

Predictors and Portfolios Over the Life Cycle

Downloads 384 ( 97,509)

Predictors and Portfolios Over the Life Cycle

Netspar Discussion Paper No. 01/2016-010
Number of pages: 61 Posted: 09 Mar 2016 Last Revised: 13 Jun 2018
Holger Kraft, Claus Munk and Farina Weiss
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 204 (186,977)

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Return predictability, scenarios, welfare, performance, housing

Predictors and Portfolios Over the Life Cycle

SAFE Working Paper No. 139
Number of pages: 63 Posted: 01 Jun 2016 Last Revised: 13 Jun 2018
Holger Kraft, Claus Munk and Farina Weiss
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 180 (209,370)

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Return predictability, scenarios, welfare, performance, housing

16.

Asset Diversification versus Climate Action

Downloads 374 (101,082)
Citation 2

Asset Diversification versus Climate Action

Number of pages: 58 Posted: 06 Feb 2020 Last Revised: 27 Feb 2021
Christoph Hambel, Holger Kraft and Rick van der Ploeg
Goethe University Frankfurt, Goethe University Frankfurt and University of Oxford - Department of Economics
Downloads 319 (119,996)
Citation 2

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decarbonization, diversification, carbon price, asset prices, green assets, disaster risk

Asset Diversification Versus Climate Action

CESifo Working Paper No. 8476
Number of pages: 56 Posted: 13 Aug 2020
Christoph Hambel, Holger Kraft and Rick van der Ploeg
Goethe University Frankfurt, Goethe University Frankfurt and affiliation not provided to SSRN
Downloads 53 (474,045)

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decarbonisation, diversification, carbon price, asset prices, green assets, disaster risk

Asset Diversification Versus Climate Action

CEPR Discussion Paper No. DP14863
Number of pages: 64 Posted: 16 Jun 2020
Christoph Hambel, Holger Kraft and Rick van der Ploeg
Goethe University Frankfurt, Goethe University Frankfurt and University of Oxford
Downloads 2 (815,280)
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asset prices, carbon price, Climate finance, decarbonization, disaster risk, Diversification, green assets

17.

Foundations of Continuous-Time Recursive Utility: Differentiability and Normalization of Certainty Equivalents

Number of pages: 34 Posted: 16 Dec 2008 Last Revised: 10 Feb 2009
Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt and University of Trier
Downloads 365 (103,252)
Citation 3

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recursive utility, stochastic differential utility, Levy framework, certainty equivalents, normalization, dynamic programming

18.

Cash Flow Multipliers and Optimal Investment Decisions

Downloads 356 (106,195)

Cash Flow Multipliers and Optimal Investment Decisions

Number of pages: 44 Posted: 02 Mar 2010 Last Revised: 25 Sep 2013
Holger Kraft, Eduardo S. Schwartz and Eduardo S. Schwartz
Goethe University Frankfurt and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 320 (118,722)

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Firm valuation, Valuation multiples, Real options

Cash Flow Multipliers and Optimal Investment Decisions

NBER Working Paper No. w15807
Number of pages: 51 Posted: 15 Mar 2010 Last Revised: 11 Sep 2021
Holger Kraft, Eduardo S. Schwartz and Eduardo S. Schwartz
Goethe University Frankfurt and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 35 (560,806)

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Cash Flow Multipliers and Optimal Investment Decisions

European Financial Management, Vol. 21, Issue 3, pp. 399-429, 2015
Number of pages: 31 Posted: 02 Jun 2015
Holger Kraft, Eduardo S. Schwartz and Eduardo S. Schwartz
Goethe University Frankfurt and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 1 (828,486)
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firm valuation, valuation multiples, real options

19.

Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change

Downloads 344 (110,291)
Citation 13

Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change

SAFE Working Paper No. 92
Number of pages: 60 Posted: 18 Mar 2015 Last Revised: 16 Dec 2020
Christoph Hambel, Holger Kraft, Eduardo S. Schwartz and Eduardo S. Schwartz
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 192 (197,668)
Citation 11

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Climate change economics, carbon abatement, social cost of carbon, GDP growth, stochastic differential utility

Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change

Number of pages: 57 Posted: 15 Mar 2015 Last Revised: 16 Dec 2020
Christoph Hambel, Holger Kraft, Eduardo S. Schwartz and Eduardo S. Schwartz
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 139 (260,441)

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Climate change economics, carbon abatement, social cost of carbon, GDP growth, stochastic differential utility

Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change

NBER Working Paper No. w21044
Number of pages: 48 Posted: 30 Mar 2015 Last Revised: 03 Jul 2021
Christoph Hambel, Holger Kraft, Eduardo S. Schwartz and Eduardo S. Schwartz
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 13 (718,981)
Citation 3

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20.

Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization

SAFE Working Paper No. 28
Number of pages: 42 Posted: 02 Jul 2010 Last Revised: 27 Aug 2013
Nicole Branger, Holger Kraft and Christoph Meinerding
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 341 (111,433)
Citation 2

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Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes

21.

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 328 (116,281)
Citation 1

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

22.

Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach

Number of pages: 21 Posted: 21 Feb 2006
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 316 (121,138)
Citation 3

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Life insurance mathematics, Multi-state model, stochastic control, mortality, disability, unemployment risk

23.

Optimal Portfolios with Stochastic Short Rate: Pitfalls When the Short Rate is Non-Gaussian or the Market Price of Risk is Unbounded

Number of pages: 32 Posted: 14 Feb 2005
Holger Kraft
Goethe University Frankfurt
Downloads 312 (122,720)
Citation 4

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Portfolio optimization, stochastic interest rates, Vasicek model, Cox-Ingersoll-Ross model, lognormal short rate models, squared Gaussian short rate model, stochastic discounting

24.

When Do Jumps Matter for Portfolio Optimization?

Downloads 311 (123,111)
Citation 1

When Do Jumps Matter for Portfolio Optimization?

SAFE Working Paper No. 16
Number of pages: 39 Posted: 04 May 2013 Last Revised: 28 Nov 2015
Marius Ascheberg, Nicole Branger, Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt, University of Muenster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 169 (221,280)
Citation 2

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Optimal investment, jumps, stochastic volatility, welfare loss

When Do Jumps Matter for Portfolio Optimization?

Number of pages: 38 Posted: 29 Apr 2013 Last Revised: 28 Nov 2015
Marius Ascheberg, Nicole Branger, Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt, University of Muenster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 142 (256,054)

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Optimal investment, jumps, stochastic volatility, welfare loss

25.

Portfolio Problems Stopping at First Hitting Time with Application to Default Risk

Number of pages: 30 Posted: 03 Aug 2004
Mogens Steffensen and Holger Kraft
University of Copenhagen and Goethe University Frankfurt
Downloads 299 (128,441)

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26.

Consumption Habits and Humps

Downloads 294 (130,736)
Citation 3

Consumption Habits and Humps

SAFE Working Paper No. 15
Number of pages: 37 Posted: 04 May 2013 Last Revised: 11 Jul 2015
Holger Kraft, Claus Munk, Frank Thomas Seifried and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 173 (216,732)
Citation 1

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Consumption hump, life-cycle utility maximization, habit formation, impatience

Consumption Habits and Humps

Number of pages: 36 Posted: 29 Apr 2013 Last Revised: 11 Jul 2015
Holger Kraft, Claus Munk, Frank Thomas Seifried and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 121 (289,546)

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consumption hump, life-cycle utility maximization, habit formation, impatience

27.

Asset Pricing Under Uncertainty About Shock Propagation

SAFE Working Paper No. 34
Number of pages: 67 Posted: 28 Nov 2013 Last Revised: 25 Mar 2014
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding and Christian Schlag
University of Muenster - Finance Center Muenster, Latvijas Banka, Goethe University Frankfurt, Deutsche Bundesbank and Goethe University Frankfurt
Downloads 290 (132,632)

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General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility

28.

Asset Allocation Over the Life Cycle: How Much Do Taxes Matter?

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 54 Posted: 26 Sep 2010 Last Revised: 17 May 2013
Holger Kraft, Marcel Fischer and Claus Munk
Goethe University Frankfurt, Copenhagen Business School and Copenhagen Business School
Downloads 279 (137,989)
Citation 1

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Portfolio Choice, Life Cycle Asset Allocation, Taxation, Unspanned Labor Income

29.

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Downloads 263 (146,634)
Citation 2

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Johnson School Research Paper Series No. 18-2011
Number of pages: 39 Posted: 04 Dec 2010 Last Revised: 25 May 2015
Marius Ascheberg, Robert A. Jarrow, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 263 (146,062)

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Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices

Real Estate Economics, Vol. 42, Issue 3, pp. 627-661, 2014
Number of pages: 35 Posted: 28 Aug 2014
Marius Ascheberg, Robert A. Jarrow, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
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Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Real Estate Economics, Forthcoming
Posted: 07 Feb 2013 Last Revised: 25 May 2015
Marius Ascheberg, Robert A. Jarrow, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

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subprime, home prices, mortgage defaults

30.

Life Insurance Demand under Health Shock Risk

Downloads 258 (149,473)
Citation 9

Life Insurance Demand under Health Shock Risk

SAFE Working Paper No. 40
Number of pages: 55 Posted: 09 Feb 2014 Last Revised: 11 Jan 2016
Christoph Hambel, Holger Kraft, Lorenz Schendel and Mogens Steffensen
Goethe University Frankfurt, Goethe University Frankfurt, Goethe University Frankfurt and University of Copenhagen
Downloads 258 (148,915)

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Health shocks, Portfolio choice, Term life insurance, Mortality risk, Labor income risk

Life Insurance Demand Under Health Shock Risk

Journal of Risk and Insurance, Vol. 84, Issue 4, pp. 1171-1202, 2017
Number of pages: 32 Posted: 05 Nov 2017
Christoph Hambel, Holger Kraft, Lorenz Schendel and Mogens Steffensen
Goethe University Frankfurt, Goethe University Frankfurt, Goethe University Frankfurt and University of Copenhagen
Downloads 0
Citation 6
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31.

Default and Idiosyncratic Risk Anomalies Revisited

Number of pages: 42 Posted: 15 Nov 2011
Björn Bick, Christian W. Hirsch, Christian W. Hirsch, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, University of FrankfurtLeibniz Institute for Financial Research SAFE, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 255 (151,137)

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

32.

Continuous-Time Delegated Portfolio Management with Homogeneous Expectations: Can an Agency Conflict Be Avoided?

Downloads 242 (159,155)
Citation 2

Continuous-Time Delegated Portfolio Management with Homogeneous Expectations: Can an Agency Conflict Be Avoided?

Number of pages: 28 Posted: 14 Feb 2005
Holger Kraft and Ralf Korn
Goethe University Frankfurt and University of Kaiserslautern - Department of Mathematics
Downloads 242 (158,634)
Citation 2

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delegated portfolio decision, Merton's portfolio problem, principal-agent theory, quadratic contract, exchange option, growth optimal portfolio

Continuous-Time Delegated Portfolio Management with Homogeneous Expectations: Can an Agency Conflict be Avoided?

Financial Markets and Portfolio Management, Vol. 22, No. 1, pp. 67-90, 2008
Posted: 02 Apr 2008
Holger Kraft and Ralf Korn
Goethe University Frankfurt and University of Kaiserslautern - Department of Mathematics

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Delegated portfolio decision, Merton's portfolio problem, Principal-agent theory, Quadratic contract, Exchange option, Growth optimal portfolio

33.

A Dynamic Programming Approach to Constrained Portfolios

Number of pages: 27 Posted: 07 Dec 2011 Last Revised: 18 Jul 2012
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 236 (163,062)
Citation 6

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Finance, Markov processes, Consumption-investment problems, Utility maximization

34.

Asset Allocation and Liquidity Breakdowns: What If Your Broker Does Not Answer the Phone?

Number of pages: 30 Posted: 19 Jun 2007
Peter M. Diesinger and Holger Kraft
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt
Downloads 196 (194,127)

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Illiquidity, Blackout Period, Portfolio Decision, Effciency Loss, Rare

35.

Pricing of Firm Specific Jump Risk

Number of pages: 47 Posted: 19 Sep 2012 Last Revised: 24 Oct 2012
Marius Ascheberg, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 183 (206,383)

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cross-section of stock returns, idiosyncratic risk

36.

The Policyholder's Static and Dynamic Decision Making of Life Insurance and Pension Payments

Number of pages: 29 Posted: 19 Feb 2008
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 183 (206,383)

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37.

Bond Durations: Corporates vs. Treasuries

Number of pages: 24 Posted: 14 Mar 2006
Claus Munk and Holger Kraft
Copenhagen Business School and Goethe University Frankfurt
Downloads 183 (206,383)

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interest rate risk, duration, default risk, intensity models

38.

Cdos in Chains

Number of pages: 9 Posted: 09 Feb 2007
Johan de Kock, Holger Kraft and Mogens Steffensen
Sanlam - Client Solutions and Research, Goethe University Frankfurt and University of Copenhagen
Downloads 178 (211,427)
Citation 2

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Markov chains, credit risk, credit derivatives, contagion

39.

Leaning Against the Wind: Debt Financing in the Face of Adversity

Downloads 172 (217,770)
Citation 1

Leaning Against the Wind: Debt Financing in the Face of Adversity

Number of pages: 33 Posted: 01 Nov 2015 Last Revised: 29 Dec 2016
Michael J. Brennan and Holger Kraft
University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 90 (354,396)
Citation 1

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Capital structure, financing policy, managerial incentives

Leaning Against the Wind: Debt Financing in the Face of Adversity

SAFE Working Paper No. 119
Number of pages: 36 Posted: 30 Nov 2015 Last Revised: 29 Dec 2016
Michael J. Brennan and Holger Kraft
University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 82 (375,611)
Citation 1

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Capital structure, financing policy, managerial incentives

40.

Consumption and Wage Humps in a Life-Cycle Model with Education

Downloads 171 (218,885)

Consumption and Wage Humps in a Life-Cycle Model with Education

SAFE Working Paper No. 53
Number of pages: 49 Posted: 21 Jun 2014 Last Revised: 17 Apr 2019
Holger Kraft, Claus Munk, Frank Thomas Seifried and Mogens Steffensen
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen
Downloads 171 (219,074)

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Education, leisure, consumption hump, wage hump

Consumption and Wage Humps in a Life-Cycle Model with Education

Posted: 11 Jun 2014 Last Revised: 02 Oct 2017
Holger Kraft, Claus Munk, Frank Thomas Seifried and Mogens Steffensen
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen

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Education, leisure, consumption hump, wage hump

41.

Consumption-Portfolio Choice with Preferences for Cash

Downloads 144 (253,823)

Consumption-Portfolio Choice with Preferences for Cash

SAFE Working Paper No. 181
Number of pages: 43 Posted: 11 Sep 2017 Last Revised: 23 Jul 2018
Holger Kraft and Farina Weiss
Goethe University Frankfurt and Goethe University Frankfurt
Downloads 96 (342,370)

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consumption-portfolio choice, money in the utility function, stock demand, stochastic control, recursive utility

Consumption-Portfolio Choice with Preferences for Cash

Number of pages: 41 Posted: 07 Sep 2017 Last Revised: 23 Jul 2018
Holger Kraft and Farina Weiss
Goethe University Frankfurt and Goethe University Frankfurt
Downloads 48 (495,409)

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consumption-portfolio choice, money in the utility function, stock demand, stochastic control, recursive utility

42.

Bequest Motives in Consumption-Portfolio Decisions with Recursive Utility

Number of pages: 37 Posted: 10 Jan 2020 Last Revised: 24 Aug 2021
Holger Kraft, Claus Munk and Farina Weiss
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 142 (256,650)

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consumption-portfolio choice, life-cycle decisions, finite horizon, terminal condition, weight on bequest, Epstein-Zin utility

43.

The Social Cost of Carbon in a Non-Cooperative World

Number of pages: 61 Posted: 11 Jul 2019 Last Revised: 25 Jan 2021
Christoph Hambel, Holger Kraft, Eduardo S. Schwartz and Eduardo S. Schwartz
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 122 (286,542)
Citation 3

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Climate change economics, Carbon abatement, Non-cooperative game, Differential game, Trade, DICE

44.

Dynamic Asset Allocation with Relative Wealth Concerns in Incomplete Markets

Number of pages: 42 Posted: 24 May 2019 Last Revised: 17 Dec 2019
Holger Kraft, André Meyer-Wehmann and Frank Thomas Seifried
Goethe University Frankfurt, Goethe University Frankfurt and University of Trier
Downloads 115 (298,726)
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Portfolio Choice, Social Preferences, Fund Manager, Growth Optimal Portfolio, Stochastic Differential Game, Verification Theorem, Incomplete Markets, Stochastic Opportunity Set

45.

The Carbon Abatement Game

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The Carbon Abatement Game

Number of pages: 49 Posted: 12 Feb 2018 Last Revised: 14 Nov 2018
Christoph Hambel, Holger Kraft, Eduardo S. Schwartz and Eduardo S. Schwartz
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 103 (324,544)
Citation 1

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Climate change economics, Carbon abatement, Non-cooperative game, Social cost of carbon, Stochastic differential game, Trade, Transfers

The Carbon Abatement Game

NBER Working Paper No. w24604
Number of pages: 49 Posted: 25 May 2018 Last Revised: 24 Sep 2021
Christoph Hambel, Holger Kraft, Eduardo S. Schwartz and Eduardo S. Schwartz
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 7 (770,265)

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46.

When Should Retirees Tap Their Home Equity?

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When Should Retirees Tap Their Home Equity?

Number of pages: 38 Posted: 08 Sep 2020 Last Revised: 23 Dec 2020
Christoph Hambel, Holger Kraft and André Meyer-Wehmann
Goethe University Frankfurt, Goethe University Frankfurt and Goethe University Frankfurt
Downloads 65 (432,158)

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reverse mortgage, consumption-portfolio decisions, optimal stopping, bio-metric risks, financial disasters

When Should Retirees Tap Their Home Equity?

SAFE Working Paper No. 293
Number of pages: 52 Posted: 28 Oct 2020
Christoph Hambel, Holger Kraft and André Meyer-Wehmann
Goethe University Frankfurt, Goethe University Frankfurt and Goethe University Frankfurt
Downloads 39 (539,070)

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reverse mortgage, consumption-portfolio decisions, optimal stopping, biometric risks, financial disasters

47.

Pandemic Portfolio Choice

Number of pages: 31 Posted: 09 Apr 2021 Last Revised: 28 Jun 2021
Holger Kraft and Farina Weiss
Goethe University Frankfurt and Goethe University Frankfurt
Downloads 91 (351,466)

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continuous optimization, existence and uniqueness, verification theorem, portfolio theory, recursive utility

48.

Recalculating the Social Cost of Carbon

FEEM Working Paper No. 19.2018
Number of pages: 9 Posted: 29 May 2018
Soheil Shayegh, Valentina Bosetti, Simon Dietz, Johannes Emmerling, Christoph Hambel, Svenn Jensen, Holger Kraft, Massimo Tavoni, Christian P. Traeger and Rick van der Ploeg
RFF-CMCC European Institute on Economy and the Environment (EIEE), Bocconi University, London School of Economics - Grantham Research Institute on Climate Change and the Environment and Department of Geography and Environment, CMCC - Centro Euro-Mediterraneo sui Cambiamenti Climatici - European Institute onEconomy and the Environment (EIEE), Goethe University Frankfurt, Oslo Metropolitan University, Goethe University Frankfurt, Fondazione Eni Enrico Mattei (FEEM), University of Oslo - Department of Economics and University of Oxford
Downloads 90 (351,466)
Citation 1

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Integrated Assessment Models, Climate Policy, Carbon, Uncertainty

49.

Solving Life Cycle Problems With Biometric Risk by Artificial Insurance Markets

Number of pages: 28 Posted: 14 Dec 2018 Last Revised: 20 Apr 2021
Christoph Hambel, Holger Kraft and Claus Munk
Goethe University Frankfurt, Goethe University Frankfurt and Copenhagen Business School
Downloads 76 (391,622)

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dynamic programming, life-cycle models, biometric risk, insurance, habit formation

50.

Endogenous Habits and Equilibrium Asset Prices

Number of pages: 40 Posted: 08 Jul 2021
Holger Kraft, André Meyer-Wehmann and Frank Thomas Seifried
Goethe University Frankfurt, Goethe University Frankfurt and University of Trier
Downloads 40 (527,662)

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general equilibrium, asset pricing, social preferences, dynamic game

51.

On the Stability of Continuous-Time Portfolio Problems with Stochastic Opportunity Set

Number of pages: 12 Posted: 23 Jul 2004
Ralf Korn and Holger Kraft
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt
Downloads 33 (558,658)
Citation 2
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Optimal portfolios, stochastic interest rate, Cox-Ingersoll-Ross model, stochastic volatility, Heston model, stochastic market price of risk

52.

Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores Under Censoring

Journal of Credit Risk, Vol. 10, No. 4, 2014
Number of pages: 24 Posted: 06 Jun 2016
Holger Kraft, Gerald Kroisandt and Marlene Müller
Goethe University Frankfurt, Fraunhofer ITWM and Beuth University of Applied Sciences Berlin
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credit scores, rating systems

53.

Optimal Portfolios with Stochastic Short Rate: Pitfalls When the Short Rate is Non-Gaussian or the Market Price

International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 767-796, 2009
Posted: 01 Dec 2009
Holger Kraft
Goethe University Frankfurt

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Portfolio optimization, stochastic interest rates, Vasicek model, Cox-Ingersoll-Ross model, lognormal short rate models, squared Gaussian short rate model

54.

What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?

Insurance: Mathematics and Economics, Vol. 45, No. 1, 2009
Posted: 17 Mar 2008 Last Revised: 06 Sep 2011
Nicole Branger, Holger Kraft and Christoph Meinerding
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank

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Asset Allocation, Jumps, Contagion, Model Risk

55.

The Elasticity Approach to Portfolio Optimization

Posted: 16 Feb 2005
Holger Kraft
Goethe University Frankfurt

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56.

Optimal Portfolios and Heston's Stochastic Volatility Model

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Optimal Portfolios and Heston's Stochastic Volatility Model

Posted: 14 Feb 2005
Holger Kraft
Goethe University Frankfurt

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Optimal portfolios, stochastic volatility, Heston model

Optimal Portfolios and Heston's Stochastic Volatility Model

Quantitative Finance, Vol. 5, pp. 303-313, 2005
Posted: 02 Nov 2005
Holger Kraft
Goethe University Frankfurt

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Optimal portfolios, stochastic volatility, Heston model

57.

Optimal Portfolios with Defaultable Securities: A Firm Value Approach

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Optimal Portfolios with Defaultable Securities: A Firm Value Approach

Posted: 10 Mar 2002
Ralf Korn and Holger Kraft
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt

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Optimal Portfolios with Defaultable Securities: A Firm Value Approach

Posted: 19 Feb 2005
Ralf Korn and Holger Kraft
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt

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