Nicole Branger

University of Münster - Finance Center Muenster

Universitatsstr. 14-16

Muenster, 48143

Germany

http://www.wiwi.uni-muenster.de/fcm/fcm/das-finance-center/details.php?weobjectID=162

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SCHOLARLY PAPERS

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Scholarly Papers (63)

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1.

Retail Traders Love 0DTE Options... But Should They?

Number of pages: 50 Posted: 13 Apr 2023 Last Revised: 27 Jul 2024
Heiner Beckmeyer, Nicole Branger and Leander Gayda
University of Münster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 6,066 (2,553)

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retail trading, options, preferences, payment for order flow, 0DTE

2.

Model Risk: A Conceptual Framework for Risk Measurement and Hedging

Number of pages: 28 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Münster - Finance Center Muenster and Goethe University Frankfurt
Downloads 1,168 (35,597)
Citation 10

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Model Risk, Risk Measures, Hedging, Expected Shortfall, Bayesian statistics

3.

The Volatility-of-Volatility Term Structure

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 80 Posted: 08 Jun 2017 Last Revised: 09 Jan 2018
Nicole Branger, Hendrik Hülsbusch and Alexander Kraftschik
University of Münster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 1,072 (40,334)
Citation 7

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Financial Crises, Option Returns, Term Structure, Volatility, Volatility-of-Volatility, VVIX

4.

Option Betas

Number of pages: 32 Posted: 22 Jun 2002
Nicole Branger and Christian Schlag
University of Münster - Finance Center Muenster and Goethe University Frankfurt
Downloads 832 (57,359)

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asset pricing, option pricing, beta, risk management

5.

The Fine Structure of Variance: Pricing VIX Derivatives in Consistent and Log-VIX Models

Number of pages: 63 Posted: 25 Mar 2012 Last Revised: 18 Aug 2016
Nicole Branger, Alexander Kraftschik and Clemens Völkert
University of Münster - Finance Center Muenster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 815 (58,973)
Citation 6

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Consistent pricing of VIX derivatives, Log-VIX model, volatility derivatives, VIX

6.

Fed Tails: FOMC Announcements and Stock Market Uncertainty

Number of pages: 67 Posted: 14 May 2019 Last Revised: 30 Mar 2023
Heiner Beckmeyer, Nicole Branger and Thomas Gruenthaler
University of Münster, University of Münster - Finance Center Muenster and Tilburg University - Tilburg University School of Economics and Management
Downloads 654 (461,580)

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Macroeconomic News Announcements, Monetary Policy Decisions, FOMC, Stock Market Uncertainty, Jump Risks, Volatility Risks, Option-Implied Information, High-Frequency Options Data

7.

Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 61 Posted: 01 Jul 2017 Last Revised: 19 Jul 2019
Nicole Branger, Hendrik Hülsbusch and T. Frederik Middelhoff
University of Münster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 569 (93,589)
Citation 2

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Options, Stock Returns, Idiosyncratic Volatility, Volatility-of-Volatility

8.

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 Münster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 563 (94,871)
Citation 10

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

9.

The Optimal Demand for Retail Derivatives

Number of pages: 36 Posted: 06 Mar 2008
Nicole Branger and Beate Breuer
University of Münster - Finance Center Muenster and Goethe University Frankfurt - Graduate Program "Finance and Monetary Economics"
Downloads 551 (97,503)
Citation 17

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Asset Allocation, Risk Premia, Structured Products, Discrete Trading, Calibration of Jump-Diffusion Models

10.

Monopoly Power in the Oil Market and the Macroeconomy

Number of pages: 58 Posted: 26 Oct 2017 Last Revised: 22 Aug 2019
Nicole Branger, René Marian Flacke and Nikolai Gräber
University of Münster - Finance Center Muenster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 526 (103,221)

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Monopoly, OPEC, Oil Shocks, VAR, DSGE, Real Business Cycle

11.

Why is the Index Smile so Steep?

Number of pages: 21 Posted: 11 Oct 2002
Nicole Branger and Christian Schlag
University of Münster - Finance Center Muenster and Goethe University Frankfurt
Downloads 526 (103,221)
Citation 9

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Option pricing, jump-diffusion, smile, implied volatility

12.

Pricing Derivative Securities Using Cross-Entropy: An Economic Analysis

Number of pages: 22 Posted: 10 May 2003
Nicole Branger
University of Münster - Finance Center Muenster
Downloads 466 (119,488)
Citation 4

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Equivalent Martingale Measure, Stochastic Discount factor, Cross-Entropy, Implied Distributions, Option Pricing

13.

Stock Returns in Global Value Chains: The Role of Upstreamness and Downstreamness

Journal of Empirical Finance, Forthcoming, https://doi.org/10.1016/j.jempfin.2023.101437
Number of pages: 66 Posted: 07 Nov 2019 Last Revised: 02 Nov 2023
Nicole Branger, René Marian Flacke, Paul Meyerhof and Steffen Windmüller
University of Münster - Finance Center Muenster, University of Münster - Finance Center Muenster, University of Münster - Finance Center Muenster and Technische Universität München (TUM) - School of Management
Downloads 450 (124,467)
Citation 4

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Asset Pricing, Input Output Table, International Financial Markets, International Trade, Stock Returns, Supply Chain

14.

When Do Jumps Matter for Portfolio Optimization?

Downloads 433 (130,253)
Citation 3

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 Münster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 263 (221,889)
Citation 4

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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 Münster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 170 (334,996)

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Optimal investment, jumps, stochastic volatility, welfare loss

15.

Why is Portfolio Insurance Attractive to Investors?

Number of pages: 28 Posted: 09 Dec 2009 Last Revised: 17 Dec 2009
Dennis Vrecko and Nicole Branger
University of Muenster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 432 (130,592)
Citation 4

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cumulative prospect theory, portfolio planning, portfolio insurance, stochastic volatility, stochastic jumps

16.

An Economic Motivation for Variance Contracts

AFA 2006 Boston Meetings Paper
Number of pages: 41 Posted: 18 Mar 2005
Nicole Branger and Christian Schlag
University of Münster - Finance Center Muenster and Goethe University Frankfurt
Downloads 432 (130,592)
Citation 5

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Variance Risk, Stochastic Volatility, Jump-Diffusion, Model Risk, Parameter Risk, Hedging Error

17.

Expected Option Returns and the Structure of Jump Risk Premia

Downloads 423 (133,742)
Citation 4

Expected Option Returns and the Structure of Jump Risk Premia

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 11 Feb 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Münster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt
Downloads 217 (267,785)
Citation 2

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Option returns, put puzzle, jump risk premia, volatility risk premium

Expected Option Returns and the Structure of Jump Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 40 Posted: 18 Mar 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Münster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt
Downloads 206 (281,133)
Citation 2

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Option returns, put puzzle, jump risk premia, volatility risk premium

18.

Jumps and the Correlation Risk Premium: Evidence from Equity Options

Number of pages: 50 Posted: 13 Sep 2019 Last Revised: 25 Jan 2021
Nicole Branger, René Marian Flacke, T. Frederik Middelhoff and Julian Thimme
University of Münster - Finance Center Muenster, University of Münster - Finance Center Muenster, University of Münster - Finance Center Muenster and Karlsruhe Institute of Technology
Downloads 405 (140,691)

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Asset Pricing, Correlation, Financial Economics, Options, Risk Premium, Stock Market Forecasting

19.

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Downloads 397 (143,939)
Citation 6

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 60 Posted: 16 Mar 2011
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Münster - Finance Center Muenster, Maastricht University - Department of Finance and Goethe University Frankfurt
Downloads 216 (268,914)
Citation 2

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Asset pricing, Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 59 Posted: 14 Mar 2012
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Münster - Finance Center Muenster, Maastricht University and Goethe University Frankfurt
Downloads 181 (316,572)
Citation 7

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Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility, level and slope of implied volatility smile

20.

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

Number of pages: 38 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Münster - Finance Center Muenster and Goethe University Frankfurt
Downloads 377 (152,480)
Citation 17

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Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error

21.

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 Münster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 372 (154,796)
Citation 3

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

22.

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 Münster - Finance Center Muenster, Latvijas Banka, Goethe University Frankfurt, Deutsche Bundesbank and Goethe University Frankfurt
Downloads 358 (161,469)

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

23.

Tractable Hedging: An Implementation of Robust Hedging Strategies

Number of pages: 31 Posted: 28 May 2004
Nicole Branger and Antje Brigitte Mahayni
University of Münster - Finance Center Muenster and Mercator School of Management
Downloads 358 (161,469)
Citation 1

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Uncertain volatility, stochastic volatility, robust hedging, tractable hedging, model misspeci cation, incomplete markets

24.

Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk

Number of pages: 43 Posted: 11 Jan 2012 Last Revised: 25 Apr 2012
Linda Sandris Larsen and Nicole Branger
Copenhagen Business School and University of Münster - Finance Center Muenster
Downloads 324 (179,796)
Citation 4

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ambiguity, jump-diffusion model, robust control, utility loss, market completeness

25.

Returns on Cyclical and Defensive Stocks in Times of Scarce Information about the Business Cycle

Number of pages: 43 Posted: 12 Jun 2012 Last Revised: 10 Apr 2013
Nicole Branger, Patrick Konermann and Julian Thimme
University of Münster - Finance Center Muenster, BI Norwegian Business School and Karlsruhe Institute of Technology
Downloads 315 (185,106)

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Asset Pricing, Epstein-Zin utility, Lucas Orchard, Learning, Information Quality

26.

Does Ambiguity about Volatility Matter Empirically?

Number of pages: 57 Posted: 11 Dec 2014 Last Revised: 10 Oct 2016
Nicole Branger, Christian Schlag and Julian Thimme
University of Münster - Finance Center Muenster, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 307 (190,264)

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Ambiguity, ambiguous volatility, asset pricing, long-run risks

27.

What is the Equilibrium Price of Variance Risk? A Long-Run Risks Model with Two Volatility Factors

Number of pages: 48 Posted: 01 Feb 2012 Last Revised: 21 Feb 2013
Nicole Branger and Clemens Völkert
University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 307 (190,264)
Citation 7

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long-run risks, variance premium, volatility derivatives

28.

Robustness of Stable Volatility Strategies

Number of pages: 53 Posted: 04 Dec 2014 Last Revised: 13 May 2015
Nicole Branger, Antje Brigitte Mahayni and Daniel Zieling
University of Münster - Finance Center Muenster, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 306 (190,920)
Citation 1

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Stable volatility strategies, jump diffusion processes, model risk, robustness, performance evaluation

29.

Robust Portfolio Choice with Ambiguity and Learning About Return Predictability

Number of pages: 47 Posted: 09 Jun 2011 Last Revised: 15 Jan 2020
Nicole Branger, Linda Sandris Larsen and Claus Munk
University of Münster - Finance Center Muenster, Copenhagen Business School and Copenhagen Business School
Downloads 270 (217,342)
Citation 5

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return predictability, portfolio choice, ambiguity, learning, robust control

30.

Hedging Recessions

Number of pages: 47 Posted: 08 Sep 2017 Last Revised: 13 Jun 2018
Nicole Branger, Linda Sandris Larsen and Claus Munk
University of Münster - Finance Center Muenster, Copenhagen Business School and Copenhagen Business School
Downloads 266 (220,611)
Citation 2

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Unemployment risk, Business cycle, Life-cycle model, Portfolio planning

31.

Fed Tails: FOMC Announcements and Stock Market Uncertainty

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 67 Posted: 14 Oct 2020 Last Revised: 11 May 2021
Heiner Beckmeyer, Nicole Branger and Thomas Gruenthaler
University of Münster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 253 (231,902)
Citation 2

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32.

Commodities, Financialization, and Heterogeneous Agents

SAFE Working Paper No. 131, BoL Working Paper No. 25/2016
Number of pages: 70 Posted: 07 Apr 2016 Last Revised: 29 Apr 2016
Nicole Branger, Patrick Grüning and Christian Schlag
University of Münster - Finance Center Muenster, Latvijas Banka and Goethe University Frankfurt
Downloads 244 (240,213)

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Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets

33.

Optimal Granularity for Portfolio Choice

Number of pages: 53 Posted: 25 Apr 2016 Last Revised: 11 Jan 2019
Nicole Branger, Katarina Lucivjanska and Alex Weissensteiner
University of Münster - Finance Center Muenster, University of Pavol Jozef Šafárik in Kosice and Free University of Bolzano Bozen
Downloads 239 (245,209)
Citation 3

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mean-variance optimization, the 1/N rule, parameter uncertainty, optimal portfolio granularity

34.

Mean-Variance Hedging with Limited Capital - a Decomposition Result

Number of pages: 18 Posted: 27 Mar 2002
Nicole Branger, Christian Schlag, Angelika Esser and Yulia Bondarenko
University of Münster - Finance Center Muenster, Goethe University Frankfurt, Sal. Oppenheim Jr. & Cie. and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 229 (255,547)

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Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire

35.

Asset Pricing in Production Economies When Capital Inputs are Heterogeneous

Number of pages: 66 Posted: 14 Oct 2016
Nicole Branger, Nikolai Gräber and Malte Schumacher
University of Münster - Finance Center Muenster, University of Münster - Finance Center Muenster and University of Zurich - Department of Business Administration
Downloads 209 (278,330)

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Heterogeneous assets, production economy, long-run risks

36.

When are Static Superhedging Strategies Optimal?

Number of pages: 34 Posted: 14 May 2004
Nicole Branger, Christian Schlag and Angelika Esser
University of Münster - Finance Center Muenster, Goethe University Frankfurt and Sal. Oppenheim Jr. & Cie.
Downloads 203 (285,884)

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Incomplete markets, superhedging, stochastic volatility, stochastic jumps

37.

The Case for Herding is Stronger than You Think

Number of pages: 22 Posted: 21 Jan 2015 Last Revised: 18 Feb 2015
Martin T. Bohl, Nicole Branger and Mark M. Trede
University of Muenster, University of Münster - Finance Center Muenster and University of Münster - Faculty of Economics
Downloads 199 (291,088)
Citation 2

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Measuring Herding Behaviour, Cross-Sectional Deviation of Stock Returns, US Stock Market

38.

The Effects of Oil Inventories on Growth Prospects, Futures Markets, and Risk Premia

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 66 Posted: 04 Jun 2016 Last Revised: 29 Sep 2017
Nicole Branger, Nikolai Gräber and Malte Schumacher
University of Münster - Finance Center Muenster, University of Münster - Finance Center Muenster and University of Zurich - Department of Business Administration
Downloads 186 (309,414)
Citation 1

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Commodities, storage, futures markets, endogenous growth

39.

Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ...

The Journal of Futures Markets, Vol. 32, No. 5, 397–430 (2012)
Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jan 2013
Nicole Branger, Christian Schlag, Eva Schneider and Norman Seeger
University of Münster - Finance Center Muenster, Goethe University Frankfurt, Goethe University Frankfurt - Department of Finance and VU Amsterdam - School of Business and Economics
Downloads 183 (313,879)
Citation 2

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Hedging, Model Risk, Risk Measurement, Model Identification, Delta Hedge, Delta-Vega Hedge, Minimum-Variance Hedge

40.

Level and Slope of Volatility Smiles in Long-Run Risk Models

SAFE Working Paper No. 186
Number of pages: 98 Posted: 06 Nov 2017 Last Revised: 14 Dec 2017
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Münster - Finance Center Muenster, Maastricht University - Department of Finance and Goethe University Frankfurt
Downloads 173 (330,099)
Citation 3

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Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile

41.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
Nicole Branger, Christian Schlag, Ivan Shaliastovich and Dongho Song
University of Münster - Finance Center Muenster, Goethe University Frankfurt, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 158 (356,808)
Citation 2

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Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia

42.

The Variance Process Implied in VIX Options: Affine vs. Non-Affine Models

Number of pages: 41 Posted: 17 Nov 2017
Nicole Branger, Alexander Kraftschik and Clemens Völkert
University of Münster - Finance Center Muenster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 154 (364,521)
Citation 1

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Jump-diffusion model, volatility derivatives, VIX options, non-affine diffusion

43.

Attainability of European Path-Independent Claims in Incomplete Markets

Number of pages: 17 Posted: 21 Jan 2003
Nicole Branger, Christian Schlag and Angelika Esser
University of Münster - Finance Center Muenster, Goethe University Frankfurt and Sal. Oppenheim Jr. & Cie.
Downloads 149 (374,532)

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Incomplete markets, attainability, stochastic volatility, jump-diffusion, superhedging

44.

On the Optimal Design of Insurance Contracts with Guarantees

Insurance: Mathematics and Economics, Vol. 4, 2010
Number of pages: 25 Posted: 01 Jul 2010 Last Revised: 04 Jul 2010
Nicole Branger, Antje Brigitte Mahayni and Judith C. Schneider
University of Münster - Finance Center Muenster, Mercator School of Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 147 (378,703)

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Interest Rate Guarantee, Optimal Portfolio Choice, Utility Loss, Guarantee Scheme, CPPI

45.

Rational Laymen Versus Over-Confident Experts: Who Survives in the Long-Run?

EFA 2006 Zurich Meetings Paper
Number of pages: 37 Posted: 14 Mar 2006
Nicole Branger, Christian Schlag and Lue Wu
University of Münster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 146 (380,724)
Citation 1

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General Equilibrium, Asset Allocation, Learning, Different Beliefs, Overconfidence

46.

Learning or Robust Control

Downloads 145 (382,769)

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 38 Posted: 02 Mar 2007
Nicole Branger, Christian Schlag and Lue Wu
University of Münster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 145 (383,214)

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Portfolio Selection, Model Uncertainty, Learning, Robust Control

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 17 Dec 2007 Last Revised: 14 Oct 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Münster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance

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Portfolio Selection, Model Uncertainty, Learning, Robust Control

47.

Experimental Exploration of Money Illusion in Long-term Financial Decision Making

Number of pages: 35 Posted: 19 Jan 2023 Last Revised: 14 Apr 2023
Henning Cordes, Nicole Branger and Thomas Langer
University of Muenster - Finance Center, University of Münster - Finance Center Muenster and University of Muenster - Finance Center
Downloads 144 (389,080)

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Experimental methods, money illusion, inflation communication, savings behavior

48.

Asset Allocation: How Much Does Model Choice Matter?

Number of pages: 46 Posted: 18 Mar 2009 Last Revised: 03 Feb 2010
Nicole Branger and Alexandra Hansis
University of Münster - Finance Center Muenster and Goethe University Frankfurt - House of Finance
Downloads 126 (426,902)
Citation 3

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stochastic volatility, jumps, market prices of risk, asset allocation, buy-and-hold strategy, model mis-specification

49.

Tractable Hedging With Additional Instruments

Number of pages: 31 Posted: 05 Mar 2007
Nicole Branger and Antje Brigitte Mahayni
University of Münster - Finance Center Muenster and Mercator School of Management
Downloads 126 (426,902)
Citation 1

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Stochastic Volatility, Robust Hedging, Tractable Hedging, Uncertain Volatility Model, Additional Hedge Instrument

50.

'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors

SAFE Working Paper No. 114
Number of pages: 69 Posted: 12 Aug 2015
Nicole Branger, Christian Schlag and Lue Wu
University of Münster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 123 (434,828)
Citation 2

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General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence

51.

Earning the Right Premium on the Right Factor in Portfolio Planning

Number of pages: 38 Posted: 01 Feb 2010 Last Revised: 17 Mar 2010
Nicole Branger and Alexandra Hansis
University of Münster - Finance Center Muenster and Goethe University Frankfurt - House of Finance
Downloads 121 (440,343)
Citation 2

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stochastic volatility, jumps, market prices of risk, asset allocation, optimal exposures

52.

Equilibrium Asset Pricing in Directed Networks

Deutsche Bundesbank Discussion Paper No. 37/2018
Number of pages: 47 Posted: 26 Sep 2018 Last Revised: 18 Nov 2021
Nicole Branger, Christoph Meinerding, Patrick Konermann and Christian Schlag
University of Münster - Finance Center Muenster, Deutsche Bundesbank, BI Norwegian Business School and Goethe University Frankfurt
Downloads 106 (485,622)

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directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

53.

The Information Content of Wheat Derivatives Regarding the Ukrainian War

Number of pages: 21 Posted: 25 Jan 2023 Last Revised: 21 Aug 2023
Nicole Branger, Michael Hanke and Alex Weissensteiner
University of Münster - Finance Center Muenster, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 104 (492,303)

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54.

Precautionary Saving and Insurance Under Generalized Mean-Variance Preferences

Number of pages: 31 Posted: 30 Mar 2017
Nicole Branger, Antje Brigitte Mahayni, Nikolaus Schweizer and Cathleen Sende
University of Münster - Finance Center Muenster, Mercator School of Management, Tilburg School of Economics and Management and University of Duisburg-Essen - Mercator School of Management
Downloads 104 (492,303)

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Precautionary saving, insurance, mean variance preferences

55.

Pricing and Upper Price Bounds of Relax Certificates

Review of Managerial Science, Forthcoming
Number of pages: 30 Posted: 05 Jul 2010
Nicole Branger, Antje Brigitte Mahayni and Judith C. Schneider
University of Münster - Finance Center Muenster, Mercator School of Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 63 (661,283)

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Certificates, Barrier Option, Price Bounds

56.

Optimal Collective Investment: An Analysis of Individual Welfare

Number of pages: 30 Posted: 04 Jan 2023
Nicole Branger, An Chen, Antje Brigitte Mahayni and Thai Nguyen
University of Münster - Finance Center Muenster, Ulm University - Institute of Insurance Science, Mercator School of Management and Université Laval
Downloads 47 (754,596)

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collective utility function, risk sharing, financial fairness, Pareto-optimality

57.

Don't Ignore Inflation Ignorance: An Experimental Analysis of the Degree of Money Illusion in Individual Decision Making

Number of pages: 60 Posted: 30 Dec 2023
Nicole Branger, Henning Cordes and Thomas Langer
University of Münster - Finance Center Muenster, University of Muenster - Finance Center and University of Muenster - Finance Center
Downloads 27 (912,194)

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Money illusion, financial decision making, asset allocation

58.

Correlation Risk and International Portfolio Choice

Posted: 08 Apr 2016 Last Revised: 16 Jun 2018
Nicole Branger, Matthias Muck and Stefan Weisheit
University of Münster - Finance Center Muenster, University of Bamberg and Talanx AG - HDI Global SE

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International asset allocation, stochastic correlation, Wishart process, intertemporal hedging demand, diversification benefits

59.

Optimal Portfolios when Variances and Covariances can Jump

Posted: 12 Mar 2015 Last Revised: 08 Oct 2017
Nicole Branger, Matthias Muck, Frank Thomas Seifried and Stefan Weisheit
University of Münster - Finance Center Muenster, University of Bamberg, University of Trier and Talanx AG - HDI Global SE

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Optimal portfolio choice, stochastic correlation, Wishart process, derivatives, jump risk, covariance jumps

60.

Equilibrium Asset Pricing in Directed Networks

Review of Finance, Volume 25, Issue 3, May 2021, 777–818., Finance Down Under 2016 Building on the Best from the Cellars of Finance, SAFE Working Paper No. 74
Posted: 11 Nov 2014 Last Revised: 24 Jun 2021
Nicole Branger, Patrick Konermann, Christoph Meinerding and Christian Schlag
University of Münster - Finance Center Muenster, BI Norwegian Business School, Deutsche Bundesbank and Goethe University Frankfurt

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Directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

61.

International Stochastic Discount Factors and Covariance Risk

Journal of Banking and Finance, Volume 123, February 2021, 106018
Posted: 23 Sep 2014 Last Revised: 29 Apr 2022
Nicole Branger, Michael Herold and Matthias Muck
University of Münster - Finance Center Muenster, affiliation not provided to SSRN and University of Bamberg

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Stochastic discount factors, International model, Stochastic covariance, Stochastic risk premium, Wishart process, Currency options, Foreign exchange, Unscented Kalman filter

62.

Optimists and Pessimists in (In)Complete Markets

Journal of Financial and Quantitative Analysis, Volume 55, Issue 8, December 2020, 2466-2499., SAFE Working Paper No. 252
Posted: 18 Nov 2013 Last Revised: 18 Jan 2021
Nicole Branger, Patrick Konermann and Christian Schlag
University of Münster - Finance Center Muenster, BI Norwegian Business School and Goethe University Frankfurt

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Market (in)completeness, heterogeneous beliefs, jumps in the long-run growth rate, jumps in aggregate consumption, recursive preferences

63.

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

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Asset Allocation, Jumps, Contagion, Model Risk

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1.

Pricing Two Trees When Trees and Investors are Heterogeneous

EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 01 Mar 2007 Last Revised: 26 Mar 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Münster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
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Asset Pricing, Two-Tree Economy, Asymmetric Information, Learning, Long-Run Survival