Olaf Korn

Georg-August-Universität Göttingen

Professor of Finance

Platz der Göttinger Sieben 3

D-37073 Göttingen

Germany

SCHOLARLY PAPERS

22

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Top 9,596

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45

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Scholarly Papers (22)

1.

Portfolio Optimization Using Forward-Looking Information

Forthcoming in: Review of Finance
Number of pages: 36 Posted: 29 Feb 2012 Last Revised: 25 Jan 2014
University of Cologne - Department of Finance & Centre for Financial Research (CFR), Georg-August-Universität Göttingen and Georg-August-Universität Göttingen
Downloads 1,108 (18,198)

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portfolio selection, option-implied information

2.

Pricing and Hedging Oil Futures: A Two-Regime Approach

EFA 0415
Number of pages: 49 Posted: 14 Nov 2000
University of Mannheim - Department of Business Administration and Finance, Georg-August-Universität Göttingen and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 1,080 (18,925)

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3.

Market Depth and Order Size

Number of pages: 25 Posted: 16 Apr 1997
Olaf Korn and Alexander Kempf
Georg-August-Universität Göttingen and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,040 (19,967)

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4.

Low-Beta Strategies

28th Australasian Finance and Banking Conference
Number of pages: 43 Posted: 20 Aug 2015 Last Revised: 15 Jun 2017
Olaf Korn and Laura-Chloé Kuntz
Georg-August-Universität Göttingen and University of Goettingen (Gottingen) - Chair of Finance
Downloads 991 (21,476)

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low-beta anomaly, trading strategies, factor risk premiums, smart beta

5.

Drift Matters: An Analysis of Commodity Derivatives

Number of pages: 38 Posted: 12 Aug 2002
Olaf Korn
Georg-August-Universität Göttingen
Downloads 967 (22,281)

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Commodities, Futures, Forwards, Pricing, Hedging

6.

Liquidity Risk and Hedging Decisions

Number of pages: 25 Posted: 27 Aug 2003
Olaf Korn
Georg-August-Universität Göttingen
Downloads 608 (42,283)

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Hedging, Forwards, Collateral, Liquidity, Risk Management

Trading System and Market Integration

96-02
Number of pages: 22 Posted: 01 Feb 1997
Olaf Korn and Alexander Kempf
Georg-August-Universität Göttingen and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 586 (43,844)

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Trading System and Market Integration

Journal of Financial Intermediation Vol. 7, No. 3
Posted: 21 Sep 1998
Olaf Korn and Alexander Kempf
Georg-August-Universität Göttingen and University of Cologne - Department of Finance & Centre for Financial Research (CFR)

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8.

Which Beta is Best? On the Information Content of Option-Implied Betas

Number of pages: 40 Posted: 08 Jan 2014
Rainer Baule, Olaf Korn and Sven Sassning
University of Hagen, Georg-August-Universität Göttingen and Georg-August-Universität Göttingen
Downloads 467 (59,270)

Abstract:

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beta, option-implied information

9.

The Term Structure of Currency Hedge Ratios

Number of pages: 38 Posted: 16 Mar 2008 Last Revised: 23 Jun 2014
Olaf Korn and Philipp Koziol
Georg-August-Universität Göttingen and European Central Bank (ECB)
Downloads 347 (84,341)

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Corporate risk management, foreign exchange risk, hedging, cointegrated VAR model

10.

Do Lead-Lag Effects Affect Derivative Pricing?

EFMA 2002 London Meetings
Number of pages: 37 Posted: 10 Mar 2002
Olaf Korn and Marliese Uhrig-Homburg
Georg-August-Universität Göttingen and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 304 (97,674)

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option pricing, lead-lag effects

11.

Risk-Adjusted Option-Implied Moments

Number of pages: 35 Posted: 03 Jul 2014 Last Revised: 18 May 2016
Felix Brinkmann and Olaf Korn
University of Goettingen (Gottingen) and Georg-August-Universität Göttingen
Downloads 301 (98,713)

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option-implied moments, risk adjustment, disappointment aversion, implied preferences

12.
Downloads 295 (100,888)

Risk Management with Default-Risky Forwards

Number of pages: 32 Posted: 21 Apr 2004
Olaf Korn
Georg-August-Universität Göttingen
Downloads 149 (193,782)

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Risk management, forwards, default risk, hedging, production

Risk Management with Default-Risky Forwards

EFMA 2004 Basel Meetings Paper
Number of pages: 30 Posted: 10 May 2004
Olaf Korn
Georg-August-Universität Göttingen
Downloads 111 (243,825)

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Risk management, forwards, default risk, hedging, production

Risk Management with Default-Risky Forwards

Schmalenbach Business Review, Vol. 62, pp. 102-125, April 2010
Number of pages: 24 Posted: 11 May 2010
Olaf Korn
Georg-August-Universität Göttingen
Downloads 35 (447,334)

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Default Risk, Forwards, Hedging, Production, Risk Management

13.

Stock Illiquidity, Option Prices, and Option Returns

Number of pages: 40 Posted: 07 Dec 2015 Last Revised: 03 Jun 2016
Karlsruhe Institute of Technology (KIT) - Institute for Finance, Georg-August-Universität Göttingen and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 283 (105,521)

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Illiquidity, equity options, option returns, option strategies

Hedging Price Risk When Payment Dates are Uncertain

EFA 2007 Ljubljana Meetings Paper
Number of pages: 33 Posted: 01 Mar 2007
Olaf Korn
Georg-August-Universität Göttingen
Downloads 190 (156,451)

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risk management, hedging, forwards, timing uncertainty

Hedging Price Risk When Payment Dates are Uncertain

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 34 Posted: 25 Aug 2008
Olaf Korn
Georg-August-Universität Göttingen
Downloads 79 (305,166)

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risk management, hedging, forwards, uncertainty of time

15.

How Firms Should Hedge: An Extension

Number of pages: 9 Posted: 20 Feb 2008
Olaf Korn
Georg-August-Universität Göttingen
Downloads 261 (114,908)

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risk management, hedging, quantity risk, exotic derivatives

16.

Designing Robust Stock Option Plans

Number of pages: 31 Posted: 20 Feb 2008
Georg-August-Universität Göttingen, Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN
Downloads 201 (148,564)

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stock option plans, robustness, accounting valuation, corporate governance

17.

Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection

Number of pages: 35 Posted: 27 Jan 2014 Last Revised: 19 May 2016
University of Goettingen (Gottingen), University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Georg-August-Universität Göttingen
Downloads 168 (174,710)

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option-implied information, dependence measures, higher moments, portfolio selection

18.

How to Hedge if the Payment Date Is Uncertain

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 54 Posted: 22 Aug 2011 Last Revised: 14 May 2016
Olaf Korn and Alexander Merz
Georg-August-Universität Göttingen and University of Goettingen
Downloads 112 (240,980)

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risk management, hedging, forwards, uncertainty of time

19.

Hedging with Regret

Number of pages: 30 Posted: 17 Aug 2017
Olaf Korn and Marc Oliver Rieger
Georg-August-Universität Göttingen and University of Trier
Downloads 87 (285,097)

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risk management, hedging, derivatives, regret aversion

20.

Desgning Robust Stock Option Plans

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 32 Posted: 25 Aug 2008
Georg-August-Universität Göttingen, affiliation not provided to SSRN and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 72 (318,824)

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stock option plans, robustness, accounting valuation, corporate governance

21.

Markowitz with Regret

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 58 Posted: 24 Sep 2018
University of Hagen, Georg-August-Universität Göttingen and University of Goettingen (Gottingen) - Chair of Finance
Downloads 69 (326,294)

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portfolio selection, regret aversion, regret risk

22.

Which Beta is Best? On the Information Content of Option‐Implied Betas

European Financial Management, Vol. 22, Issue 3, pp. 450-483, 2016
Number of pages: 34 Posted: 06 Jun 2016
Rainer Baule, Olaf Korn and Sven Sassning
University of Hagen, Georg-August-Universität Göttingen and University of Goettingen (Gottingen)
Downloads 1 (639,245)
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Abstract:

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beta, option‐implied information