Holger Kraft

Goethe University Frankfurt

Faculty of Economics and Business Administration

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

54

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14,106

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86

CROSSREF CITATIONS

75

Scholarly Papers (54)

1.

Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets

Number of pages: 32 Posted: 03 Jun 2010 Last Revised: 28 Jun 2011
Goethe University Frankfurt, University of Trier and University of Copenhagen
Downloads 730 (36,604)
Citation 8

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

2.

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 650 (42,814)

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

3.

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 640 (43,711)
Citation 9

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

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
Goethe University Frankfurt, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 317 (101,752)
Citation 5

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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
Goethe University Frankfurt, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 276 (118,120)
Citation 3

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

5.
Downloads 523 ( 56,595)
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 and Farina Weiss
Goethe University Frankfurt, Simon Fraser University (SFU) and Goethe University Frankfurt
Downloads 280 (116,269)

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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 and Farina Weiss
Goethe University Frankfurt, Simon Fraser University (SFU) and Goethe University Frankfurt
Downloads 224 (146,165)

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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 and Farina Weiss
Goethe University Frankfurt, Simon Fraser University (SFU) and Goethe University Frankfurt
Downloads 17 (597,264)

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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 and Farina Weiss
Goethe University Frankfurt, Simon Fraser University (SFU) and Goethe University Frankfurt
Downloads 2 (713,225)
Citation 3
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firm valuation, real options, volatility, R & D expenses, PCA

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 342 (93,390)

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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 167 (191,582)

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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
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 502 (59,605)
Citation 1

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

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 369 (85,520)
Citation 7

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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 (276,158)
Citation 3

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

9.

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 434 (71,280)
Citation 2

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

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 261 (125,268)

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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 167 (191,582)
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

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 423 (73,517)
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 419 (74,352)

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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 380 (83,307)
Citation 1

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

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 196 (165,996)
Citation 7

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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 174 (184,826)

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

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 193 (168,382)

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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 168 (190,598)

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Return predictability, scenarios, welfare, performance, housing

16.

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 361 (88,424)
Citation 3

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

Cash Flow Multipliers and Optimal Investment Decisions

Number of pages: 44 Posted: 02 Mar 2010 Last Revised: 25 Sep 2013
Holger Kraft and Eduardo S. Schwartz
Goethe University Frankfurt and Simon Fraser University (SFU)
Downloads 317 (101,752)

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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 2010
Holger Kraft and Eduardo S. Schwartz
Goethe University Frankfurt and Simon Fraser University (SFU)
Downloads 34 (491,154)

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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 and Eduardo S. Schwartz
Goethe University Frankfurt and Simon Fraser University (SFU)
Downloads 1 (727,094)
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firm valuation, valuation multiples, real options

18.

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
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 333 (96,831)
Citation 2

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

19.

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 (101,275)

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

20.

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 309 (105,164)
Citation 1

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

21.
Downloads 305 (106,721)
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

22.

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

EFA 2004 Maastricht Meetings Paper No. 3210
Number of pages: 30 Posted: 03 Aug 2004
Mogens Steffensen and Holger Kraft
University of Copenhagen and Goethe University Frankfurt
Downloads 290 (112,610)

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Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change

SAFE Working Paper No. 92
Number of pages: 50 Posted: 18 Mar 2015 Last Revised: 04 Sep 2019
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)
Downloads 157 (202,120)
Citation 3

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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: 47 Posted: 15 Mar 2015 Last Revised: 04 Sep 2019
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)
Downloads 121 (249,105)

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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
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)
Downloads 11 (640,950)

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24.
Downloads 285 (115,148)
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
Goethe University Frankfurt, University of Muenster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 147 (214,840)
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
Goethe University Frankfurt, University of Muenster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 138 (224,873)

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Optimal investment, jumps, stochastic volatility, welfare loss

25.
Downloads 283 (115,562)
Citation 1

Consumption Habits and Humps

SAFE Working Paper No. 15
Number of pages: 37 Posted: 04 May 2013 Last Revised: 11 Jul 2015
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 165 (193,615)
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
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 118 (253,818)

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

26.

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
University of Muenster - Finance Center Muenster, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER), Goethe University Frankfurt, Deutsche Bundesbank and Leibniz Institute for Financial Research SAFE
Downloads 269 (121,941)

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

27.

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 267 (122,931)

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

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
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 254 (128,894)

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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
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
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

29.
Downloads 247 (133,200)
Citation 5

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
Goethe University Frankfurt, Goethe University Frankfurt, Goethe University Frankfurt and University of Copenhagen
Downloads 247 (132,641)

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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
Goethe University Frankfurt, Goethe University Frankfurt, Goethe University Frankfurt and University of Copenhagen
Downloads 0
Citation 1
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30.

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 (133,727)

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

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 236 (138,802)
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

32.

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 229 (143,408)
Citation 1

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

33.

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 192 (169,303)

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

34.

Pricing of Firm Specific Jump Risk

Number of pages: 47 Posted: 19 Sep 2012 Last Revised: 24 Oct 2012
Goethe University Frankfurt, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 177 (182,110)

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cross-section of stock returns, idiosyncratic risk

35.

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 177 (182,110)
Citation 2

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Markov chains, credit risk, credit derivatives, contagion

36.

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 175 (183,886)

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interest rate risk, duration, default risk, intensity models

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 87 (312,711)
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 81 (326,989)
Citation 1

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Capital structure, financing policy, managerial incentives

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
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen
Downloads 160 (198,947)

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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
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen

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Education, leisure, consumption hump, wage hump

39.

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 135 (228,118)

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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 90 (305,977)

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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 40 (463,024)

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

41.
Downloads 97 (289,499)
Citation 1

The Carbon Abatement Game

Number of pages: 49 Posted: 12 Feb 2018 Last Revised: 14 Nov 2018
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)
Downloads 94 (297,602)
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
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)
Downloads 3 (702,462)

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42.

Dynamic Asset Allocation with Relative Wealth Concerns in Incomplete Markets

Number of pages: 42 Posted: 24 May 2019 Last Revised: 17 Dec 2019
Goethe University Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Trier
Downloads 81 (323,933)
Citation 2

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Portfolio Choice, Social Preferences, Fund Manager, Growth Optimal Portfolio, Stochastic Differential Game, Verification Theorem, Incomplete Markets, Stochastic Opportunity Set

43.

Recalculating the Social Cost of Carbon

FEEM Working Paper No. 19.2018
Number of pages: 9 Posted: 29 May 2018
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 74 (341,337)

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Integrated Assessment Models, Climate Policy, Carbon, Uncertainty

44.

Asset Diversification versus Climate Action

Number of pages: 61 Posted: 06 Feb 2020 Last Revised: 26 May 2020
Goethe University Frankfurt, Goethe University Frankfurt and University of Oxford - Department of Economics
Downloads 70 (352,043)

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

45.

The Social Cost of Carbon in a Non-Cooperative World

Number of pages: 54 Posted: 11 Jul 2019 Last Revised: 20 Dec 2019
Goethe University Frankfurt, Goethe University Frankfurt and Simon Fraser University (SFU)
Downloads 53 (407,628)

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

46.

Bequest Motives in Consumption-Portfolio Problems with Recursive Utility

Number of pages: 31 Posted: 10 Jan 2020
Holger Kraft, Claus Munk and Farina Weiss
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 38 (461,788)

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consumption-portfolio choice, fifty-fifty rule, life-cycle decisions, finite horizon, terminal condition, weight on bequest, stochastic differential utility

47.

Solving Life Cycle Problems With Biometric Risk by Artificial Insurance Markets

Number of pages: 27 Posted: 14 Dec 2018
Christoph Hambel, Holger Kraft and Claus Munk
Goethe University Frankfurt, Goethe University Frankfurt and Copenhagen Business School
Downloads 36 (470,486)

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Life-Cycle Consumption, Biometric Risks, Insurance, Artificial Markets, Habit Formation

48.

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

Mathematical Finance, Vol. 14, No. 3, pp. 403-414, July 2004
Number of pages: 12 Posted: 23 Jul 2004
Ralf Korn and Holger Kraft
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt
Downloads 32 (489,101)
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Optimal portfolios, stochastic interest rate, Cox-Ingersoll-Ross model, stochastic volatility, Heston model, stochastic market price of risk

49.

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
Downloads 0 (711,371)
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credit scores, rating systems

50.

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

51.

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
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank

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Asset Allocation, Jumps, Contagion, Model Risk

52.

The Elasticity Approach to Portfolio Optimization

Mathematical Methods of Operations Research, Vol. 58, pp. 159-182, 2003
Posted: 16 Feb 2005
Holger Kraft
Goethe University Frankfurt

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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

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

Abstract:

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Optimal Portfolios with Defaultable Securities: A Firm Value Approach

International Journal of Theoretical and Applied Finance, Vol. 6, pp. 793-819, 2003
Posted: 19 Feb 2005
Ralf Korn and Holger Kraft
University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt

Abstract:

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