Frank Thomas Seifried

University of Trier

Department IV - Mathematics

Universitätsring 19

Trier, 54296

Germany

http://sites.google.com/site/seifriedfinance/

  • University of Trier

SCHOLARLY PAPERS

32

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96

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27

Scholarly Papers (32)

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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 916 (50,628)
Citation 15

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

2.

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Downloads 787 (62,430)
Citation 14

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 445 (125,961)
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 342 (169,501)
Citation 5

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

3.

Post-Crisis Interest Rates: XIBOR Mechanics and Basis Spreads

Number of pages: 49 Posted: 13 Jun 2014
Janek Gallitschke, Stefanie Müller and Frank Thomas Seifried
KPMG International, LLP - KPMG AG WPG (Frankfurt), Nagler & Company and University of Trier
Downloads 555 (97,258)
Citation 5

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post-crisis interest rates, LIBOR, XIBOR, interbank cash market, basis spreads, liquidity freeze, multi-curve models

4.

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

Downloads 461 (121,820)
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 250 (235,013)
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 211 (276,755)

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

5.

When Do Jumps Matter for Portfolio Optimization?

Downloads 436 (130,091)
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 266 (220,878)
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 (337,338)

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Optimal investment, jumps, stochastic volatility, welfare loss

6.

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 406 (141,251)
Citation 3

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

7.

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

Number of pages: 28 Posted: 28 Aug 2015 Last Revised: 14 Dec 2018
Holger Fink, Sebastian Geissel, Jörn Sass and Frank Thomas Seifried
Nuertingen-Geislingen University of Applied Sciences, Trier University of Applied Sciences, RPTU Kaiserslautern-Landau and University of Trier
Downloads 387 (149,119)
Citation 5

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

8.

Consumption Habits and Humps

Downloads 353 (165,061)
Citation 4

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 206 (283,117)
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 147 (381,608)

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

9.

Epstein-Zin Stochastic Differential Utility: Existence, Uniqueness, Concavity, and Utility Gradients

Number of pages: 24 Posted: 03 Jul 2015 Last Revised: 01 Jun 2016
Thomas Seiferling and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 342 (171,375)
Citation 5

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recursive utility, stochastic differential utility, utility gradient, BSDEs

10.

Convergence Rates for a Deep Learning Algorithm for Semilinear PDEs

Number of pages: 42 Posted: 16 Feb 2022 Last Revised: 21 Jun 2022
Christoph Knochenhauer, Oliver Hager, Charlotte Reimers, Lotte Schnell, Frank Thomas Seifried and Maximilian Würschmidt
Technische Universität München (TUM), Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 339 (172,437)

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semilinear PDE, forward-backward SDE, deep solver, strong convergence rate

11.

Hedging with Small Uncertainty Aversion

Finance and Stochastics, Vol. 21, No. 1, pp. 1-64, 2017, Swiss Finance Institute Research Paper No. 15-19
Number of pages: 48 Posted: 03 Jul 2015 Last Revised: 17 Apr 2017
Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
The University of Manchester, Imperial College London - Department of Mathematics and University of Trier
Downloads 324 (181,045)
Citation 1

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volatility uncertainty, ambiguity aversion, option pricing and hedging, asymptotics

12.

Optimal Expected Utility Risk Measures

Number of pages: 17 Posted: 28 Aug 2015 Last Revised: 30 Nov 2017
Sebastian Geissel, Jörn Sass and Frank Thomas Seifried
Trier University of Applied Sciences, RPTU Kaiserslautern-Landau and University of Trier
Downloads 313 (187,653)
Citation 7

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risk measure, certainty equivalent, utility maximization

13.

Branching Diffusions with Jumps and Valuation with Systemic Counterparties

Number of pages: 29 Posted: 11 Sep 2019 Last Revised: 14 Jan 2020
Christoph Knochenhauer, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität München (TUM), University of Trier and University of Trier
Downloads 300 (197,678)

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Branching Diffusion, Mixed Local-Nonlocal PDE, Nonlinear Jumps, Monte Carlo Simulation, Credit Valuation Adjustment

14.

Forecasting Discrete Dividends by No-Arbitrage

Number of pages: 15 Posted: 05 May 2015
Sascha Desmettre, Sarah Grün and Frank Thomas Seifried
Johannes Kepler University Linz, Fraunhofer ITWM and University of Trier
Downloads 256 (230,776)

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dividends, prediction, arbitrage, put-call parity, market-implied discount curve

15.

Stochastic Impulse Control with Regime-Switching Dynamics

Number of pages: 43 Posted: 08 Apr 2015 Last Revised: 02 Jan 2017
Ralf Korn, Yaroslav Melnyk and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics, affiliation not provided to SSRN and University of Trier
Downloads 246 (239,939)
Citation 1

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Control, Product Life Cycle, Stochastic Impulse Control, Intervention Costs, Regime Shifts

16.

Continuous-Time Mean Field Games with Finite State Space and Common Noise

Number of pages: 34 Posted: 02 Oct 2019 Last Revised: 15 May 2020
Christoph Knochenhauer, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität München (TUM), University of Trier and University of Trier
Downloads 239 (246,918)

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mean field games, common noise, Markov chains, regime shifts

17.

Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs

Number of pages: 39 Posted: 18 May 2017
Yaroslav Melnyk, Johannes Muhle‐Karbe and Frank Thomas Seifried
affiliation not provided to SSRN, University of Michigan at Ann Arbor and University of Trier
Downloads 215 (272,953)
Citation 2

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lifetime investment and consumption, recursive utility, Epstein-Zin, transaction costs, asymptotics

18.

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

Downloads 215 (274,105)

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 215 (273,086)

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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

19.

Worst-Case Consumption-Portfolio Optimization

Number of pages: 30 Posted: 26 Mar 2013
Sascha Desmettre, Ralf Korn and Frank Thomas Seifried
Johannes Kepler University Linz, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 206 (284,067)
Citation 6

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worst-case, crash, portfolio, consumption, verification

20.

Optimal Asset Allocation with Fixed-Term Securities

Number of pages: 35 Posted: 03 Oct 2014 Last Revised: 03 Nov 2015
Sascha Desmettre and Frank Thomas Seifried
Johannes Kepler University Linz and University of Trier
Downloads 188 (308,635)
Citation 1

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optimal portfolio, fixed-term investment, bank deposit, closed-end security, martingale method

21.

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 169 (339,311)
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

22.

Portfolio Optimization with Optimal Expected Utility Risk Measures

Number of pages: 23 Posted: 30 Jun 2019 Last Revised: 19 May 2020
Holger Fink, Sebastian Geissel, Julia Herbinger and Frank Thomas Seifried
Nuertingen-Geislingen University of Applied Sciences, Trier University of Applied Sciences, affiliation not provided to SSRN and University of Trier
Downloads 163 (349,978)
Citation 3

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

23.

Small-Cost Asymptotics for Long-Term Growth Rates in Incomplete Markets

Number of pages: 44 Posted: 10 Nov 2014 Last Revised: 12 Jun 2016
Yaroslav Melnyk and Frank Thomas Seifried
affiliation not provided to SSRN and University of Trier
Downloads 161 (353,720)
Citation 1

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transaction costs, Morton-Pliska, leading-order optimality, asymptotic expansion, Kelly criterion, pathwise optimality

24.

Optimal Investment for Retail Investors with Floored and Capped Costs

Number of pages: 33 Posted: 03 Sep 2019
Christoph Knochenhauer, Lukas Mich and Frank Thomas Seifried
Technische Universität München (TUM), University of Trier and University of Trier
Downloads 154 (366,931)
Citation 1

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Portfolio Optimization, Transaction Costs, Retail Investor

25.

Robust Worst-Case Optimal Investment

Number of pages: 24 Posted: 05 Jul 2013
Sascha Desmettre, Ralf Korn, Peter Ruckdeschel and Frank Thomas Seifried
Johannes Kepler University Linz, University of Kaiserslautern - Department of Mathematics, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 144 (387,411)
Citation 2

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worst-case, crash scenario, robust optimization, Knightian uncertainty, efficiency, min-max approach

26.

Generalized Pareto Processes and Liquidity

Number of pages: 26 Posted: 24 Feb 2017
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel and Frank Thomas Seifried
Johannes Kepler University Linz, Sanlam - Client Solutions and Research, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 128 (424,771)

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ARGP process, GPD, liquidity risk, data features

27.

Endogenous Habits and Equilibrium Asset Prices

Number of pages: 49 Posted: 08 Jul 2021 Last Revised: 27 Dec 2021
Holger Kraft, André Meyer-Wehmann and Frank Thomas Seifried
Goethe University Frankfurt, Goethe University Frankfurt and University of Trier
Downloads 112 (469,879)
Citation 1

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general equilibrium, asset pricing, social preferences, dynamic game

28.

Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

Number of pages: 29 Posted: 02 Feb 2022
Erhan Bayraktar, Christoph Knochenhauer, Frank Thomas Seifried and Sören Christensen
University of Michigan at Ann Arbor - Department of Mathematics, Technische Universität München (TUM), University of Trier and Gothenburg University
Downloads 91 (541,608)
Citation 1

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Portfolio Optimization, Transaction Costs, Stochastic Perron's Method, Viscosity Solutions

29.

A General Verification Result for Stochastic Impulse Control Problems

SIAM Journal on Control and Optimization, Vol. 55, No. 2, pp. 627-649, 2017
Posted: 03 Jul 2016 Last Revised: 02 Sep 2019
Christoph Knochenhauer, Sören Christensen and Frank Thomas Seifried
Technische Universität München (TUM), Gothenburg University and University of Trier

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Impulse Control, Stochastic Perron, Superharmonic Functions, Optimal Controls

30.

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

31.

Backward Nonlinear Expectation Equations

Mathematics and Financial Economics, Vol. 12, No. 1, pp. 111-134, 2018
Posted: 11 Jan 2015 Last Revised: 10 Jan 2019
Christoph Knochenhauer, Thomas Seiferling and Frank Thomas Seifried
Technische Universität München (TUM), University of Kaiserslautern - Department of Mathematics and University of Trier

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backward stochastic differential equation, nonlinear expectation, random G-expectation, recursive utility, volatility uncertainty

32.

Optimal Investment with Deferred Capital Gains Taxes

Posted: 15 Dec 2008 Last Revised: 14 Apr 2014
Frank Thomas Seifried
University of Trier

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optimal investment, deferred taxes, capital gains taxes, martingale method, Clark's formula