Frank Thomas Seifried

University of Trier

Department IV - Mathematics

Universitätsring 19

Trier, 54296

Germany

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

SCHOLARLY PAPERS

33

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35

CROSSREF CITATIONS

32

Scholarly Papers (33)

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 736 (36,677)
Citation 8

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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 319 (102,331)
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 280 (117,795)
Citation 3

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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 439 (71,207)
Citation 5

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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 198 (166,329)
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 (186,966)

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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 362 (89,280)
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, University of Applied Sciences Brandenburg, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 302 (109,230)
Citation 2

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

7.
Downloads 295 (112,002)
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 157 (204,410)
Citation 2

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Optimal investment, jumps, stochastic volatility, welfare loss

When Do Jumps Matter for Portfolio Optimization?

Number of pages: 38 Posted: 29 Apr 2013 Last Revised: 28 Nov 2015
Marius Ascheberg, Nicole Branger, Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt, University of Muenster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 138 (227,430)

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Optimal investment, jumps, stochastic volatility, welfare loss

8.
Downloads 284 (116,607)
Citation 1

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 166 (194,856)
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 118 (256,777)

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

9.

Hedging with Small Uncertainty Aversion

Finance and Stochastics, Vol. 21, No. 1, pp. 1-64, 2017
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 272 (122,003)
Citation 1

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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 255 (130,535)
Citation 3

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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
University of Applied Sciences Brandenburg, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 222 (149,636)
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 and University of Trier
Downloads 191 (172,023)

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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 189 (173,721)
Citation 5

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recursive utility, stochastic differential utility, utility gradient, BSDEs

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 164 (196,715)

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

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 161 (200,067)

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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

16.

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 150 (212,110)
Citation 1

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

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
Ecole Polytechnique Fédérale de Lausanne, University of Michigan at Ann Arbor and University of Trier
Downloads 146 (216,788)
Citation 1

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

18.

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 144 (219,229)
Citation 6

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worst-case, crash, portfolio, consumption, verification

19.

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 and University of Trier
Downloads 135 (230,764)
Citation 1

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

20.

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 109 (270,551)

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

21.

Branching Diffusions with Jumps and Valuation with Systemic Counterparties

Number of pages: 29 Posted: 11 Sep 2019 Last Revised: 14 Jan 2020
Christoph Belak, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 85 (318,170)

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

22.

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, Andre Meyer-Wehmann and Frank Thomas Seifried
Goethe University Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Trier
Downloads 82 (325,142)
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

23.

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 81 (327,541)

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ARGP process, GPD, liquidity risk, data features

24.

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 Belak, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 80 (329,940)

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

25.

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 74 (345,185)
Citation 4

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

26.

Optimal Investment for Retail Investors with Floored and Capped Costs

Number of pages: 33 Posted: 03 Sep 2019
Christoph Belak, Lukas Mich and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 64 (376,146)

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Portfolio Optimization, Transaction Costs, Retail Investor

27.

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, University of Applied Sciences Brandenburg, affiliation not provided to SSRN and University of Trier
Downloads 32 (494,527)

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

28.

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 (702,530)
Citation 2
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asymptotic expansion, Kelly criterion, leading‐order optimality, Morton–Pliska, pathwise optimality, transaction costs

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 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

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 Muenster - Finance Center Muenster, University of Bamberg, University of Trier and affiliation not provided to SSRN

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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 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

32.

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 (720,935)
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optimal consumption and investment, large investor, market manipulation, regime‐shift model

33.

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