Frank Thomas Seifried

University of Trier

Department IV - Mathematics

Universitätsring 19

Trier, 54296

Germany

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

SCHOLARLY PAPERS

30

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CITATIONS
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42

Scholarly Papers (30)

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 702 (35,283)
Citation 1

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

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 295 (101,412)
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
Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
Goethe University Frankfurt, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 263 (114,634)
Citation 4

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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 414 (69,328)
Citation 3

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

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 189 (158,846)
Citation 1

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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 172 (172,975)

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

5.

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 357 (82,462)
Citation 3

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

6.

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, HSBC Germany, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 292 (103,085)
Citation 2

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

7.
Downloads 281 (107,411)

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 164 (180,343)

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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 117 (237,060)

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

8.
Downloads 276 (109,515)
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 139 (207,154)
Citation 1

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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 137 (209,631)
Citation 2

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Optimal investment, jumps, stochastic volatility, welfare loss

9.

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
University of Manchester, Imperial College London - Department of Mathematics and University of Trier
Downloads 268 (112,930)

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

10.

The Multi-Curve Potential Model

Number of pages: 26 Posted: 28 Sep 2014 Last Revised: 03 Sep 2015
The Nguyen and Frank Thomas Seifried
Deutsche Bank AG and University of Trier
Downloads 240 (126,549)
Citation 1

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Multi-curve models, potential approach, state-price deflator, foreign exchange rates, rational lognormal model, OIS, LIBOR, FRA rate, FRA spread, LIBOR-OIS spread

11.

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
HSBC Germany, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 201 (150,076)
Citation 1

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risk measure, certainty equivalent, utility maximization

12.

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, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Trier
Downloads 182 (164,441)

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

13.

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 176 (169,442)
Citation 4

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recursive utility, stochastic differential utility, utility gradient, BSDEs

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 150 (194,648)

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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

15.

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
University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 149 (195,290)

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

16.

Worst-Case Consumption-Portfolio Optimization

Number of pages: 30 Posted: 26 Mar 2013
Sascha Desmettre, Ralf Korn and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 139 (206,595)
Citation 5

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worst-case, crash, portfolio, consumption, verification

17.

Forecasting Discrete Dividends by No-Arbitrage

Number of pages: 15 Posted: 05 May 2015
Sascha Desmettre, Sarah Grün and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics, Fraunhofer ITWM and University of Trier
Downloads 135 (211,580)

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

18.

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
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Trier
Downloads 133 (214,134)
Citation 1

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

19.

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
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Michigan at Ann Arbor and University of Trier
Downloads 122 (228,765)

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

20.

Robust Worst-Case Optimal Investment

Number of pages: 24 Posted: 05 Jul 2013
Sascha Desmettre, Ralf Korn, Peter Ruckdeschel and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics, University of Kaiserslautern - Department of Mathematics, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 107 (251,437)

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

21.

Generalized Pareto Processes and Liquidity

Number of pages: 26 Posted: 24 Feb 2017
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics, Sanlam - Client Solutions and Research, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 80 (303,195)

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ARGP process, GPD, liquidity risk, data features

22.

The Affine Rational Potential Model

Number of pages: 19 Posted: 23 Dec 2015
The Nguyen and Frank Thomas Seifried
Deutsche Bank AG and University of Trier
Downloads 73 (319,769)
Citation 1

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Affine processes, exchange rate, potential approach, state price deflator, supermartingale, zero lower bound

23.

Dynamic Asset Allocation with Relative Wealth Concerns in Incomplete Markets

Number of pages: 33 Posted: 24 May 2019 Last Revised: 23 Jun 2019
Holger Kraft, Andre Meyer-Wehmann and Frank Thomas Seifried
Goethe University Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Trier
Downloads 37 (433,987)
Citation 1

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Social Finance, Portfolio Choice, Social Preferences, Fund Manager, Growth Optimal Portfolio, Stochastic Differential Game, Verification Theorem

24.

Portfolio Optimization with Optimal Expected Utility Risk Measures

Number of pages: 23 Posted: 30 Jun 2019
Holger Fink, Sebastian Geissel, Julia Herbinger and Frank Thomas Seifried
Nuertingen-Geislingen University of Applied Sciences, HSBC Germany, affiliation not provided to SSRN and University of Trier
Downloads 19 (524,530)

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

25.

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

Mathematical Finance, Vol. 28, Issue 2, pp. 668-711, 2018
Number of pages: 44 Posted: 16 Mar 2018
Yaroslav Melnyk and Frank Thomas Seifried
University of Lausanne and University of Trier
Downloads 1 (648,128)
Citation 2
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asymptotic expansion, Kelly criterion, leading‐order optimality, Morton–Pliska, pathwise optimality, transaction costs

26.

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: 10 Jan 2019
Christoph Belak, Sören Christensen and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and University of Trier

Abstract:

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Impulse Control, Stochastic Perron, Superharmonic Functions, Optimal Controls

27.

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 Muenster - Finance Center Muenster, University of Bamberg, University of Trier and University of Bamberg

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

28.

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 Belak, Thomas Seiferling and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, 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

29.

Optimal Consumption and Investment for a Large Investor: An Intensity‐Based Control Framework

Mathematical Finance, Vol. 23, Issue 4, pp. 687-717, 2013
Number of pages: 31 Posted: 06 Aug 2013
Michael Busch, Ralf Korn and Frank Thomas Seifried
University of Kaiserslautern, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 0 (666,078)
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optimal consumption and investment, large investor, market manipulation, regime‐shift model

30.

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