Olaf Korn

University of Goettingen (Gottingen)

Platz der Gottinger Sieben 3

Gottingen, D-37073

Germany

SCHOLARLY PAPERS

23

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10,490

SSRN CITATIONS
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SSRN RANKINGS

Top 33,151

in Total Papers Citations

9

CROSSREF CITATIONS

15

Scholarly Papers (23)

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), University of Goettingen (Gottingen) and Georg-August-Universität Göttingen
Downloads 1,144 (21,346)
Citation 2

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portfolio selection, option-implied information

2.

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
University of Goettingen (Gottingen) and University of Goettingen (Gottingen) - Chair of Finance
Downloads 1,110 (22,368)

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

3.

Market Depth and Order Size

Number of pages: 25 Posted: 16 Apr 1997
Olaf Korn and Alexander Kempf
University of Goettingen (Gottingen) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,099 (22,696)
Citation 4

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4.

Pricing and Hedging Oil Futures: A Two-Regime Approach

Number of pages: 49 Posted: 14 Nov 2000
University of Mannheim - Department of Business Administration and Finance, University of Goettingen (Gottingen) and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 1,097 (22,767)
Citation 2

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5.

Drift Matters: An Analysis of Commodity Derivatives

Number of pages: 38 Posted: 12 Aug 2002
Olaf Korn
University of Goettingen (Gottingen)
Downloads 974 (26,985)

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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
University of Goettingen (Gottingen)
Downloads 642 (48,020)
Citation 1

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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
University of Goettingen (Gottingen) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 593 (52,524)

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Trading System and Market Integration

Posted: 21 Sep 1998
Olaf Korn and Alexander Kempf
University of Goettingen (Gottingen) 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, University of Goettingen (Gottingen) and Georg-August-Universität Göttingen
Downloads 489 (67,718)
Citation 1

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beta, option-implied information

9.

Drawdown Measures: Are They All the Same?

Number of pages: 27 Posted: 04 Nov 2019 Last Revised: 20 Mar 2020
University of Goettingen (Gottingen), University of Goettingen (Gottingen) and Quoniam Asset Management GmbH
Downloads 427 (79,803)
Citation 1

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Asset Management, Drawdown, Risk Measures, Performance Measurement

10.

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
University of Goettingen (Gottingen) and European Central Bank (ECB)
Downloads 352 (99,800)

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

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 University of Goettingen (Gottingen)
Downloads 324 (109,454)

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

12.

Stock Illiquidity and Option Returns

Number of pages: 49 Posted: 07 Dec 2015 Last Revised: 05 Dec 2020
Karlsruhe Institute of Technology (KIT) - Institute for Finance, University of Goettingen (Gottingen) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 323 (109,829)

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Illiquidity, equity options, option returns, hedging costs

13.

Do Lead-Lag Effects Affect Derivative Pricing?

Number of pages: 37 Posted: 10 Mar 2002
Olaf Korn and Marliese Uhrig-Homburg
University of Goettingen (Gottingen) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 310 (114,830)
Citation 1

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option pricing, lead-lag effects

14.
Downloads 302 (118,087)
Citation 1

Risk Management with Default-Risky Forwards

Number of pages: 32 Posted: 21 Apr 2004
Olaf Korn
University of Goettingen (Gottingen)
Downloads 153 (224,645)

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Risk management, forwards, default risk, hedging, production

Risk Management with Default-Risky Forwards

Number of pages: 30 Posted: 10 May 2004
Olaf Korn
University of Goettingen (Gottingen)
Downloads 112 (286,423)

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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
University of Goettingen (Gottingen)
Downloads 37 (516,176)

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Default Risk, Forwards, Hedging, Production, Risk Management

Hedging Price Risk When Payment Dates are Uncertain

EFA 2007 Ljubljana Meetings Paper
Number of pages: 33 Posted: 01 Mar 2007
Olaf Korn
University of Goettingen (Gottingen)
Downloads 193 (183,370)

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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
University of Goettingen (Gottingen)
Downloads 81 (354,655)

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risk management, hedging, forwards, uncertainty of time

16.

How Firms Should Hedge: An Extension

Number of pages: 9 Posted: 20 Feb 2008
Olaf Korn
University of Goettingen (Gottingen)
Downloads 261 (137,610)
Citation 3

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risk management, hedging, quantity risk, exotic derivatives

17.

Designing Robust Stock Option Plans

Number of pages: 31 Posted: 20 Feb 2008
University of Goettingen (Gottingen), Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN
Downloads 203 (175,245)

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stock option plans, robustness, accounting valuation, corporate governance

18.

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 University of Goettingen (Gottingen)
Downloads 190 (186,096)

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

19.

Markowitz with Regret

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 58 Posted: 24 Sep 2018
University of Hagen, University of Goettingen (Gottingen) and University of Goettingen (Gottingen) - Chair of Finance
Downloads 104 (299,995)
Citation 1

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portfolio selection, regret aversion, regret risk

20.

Hedging with Regret

Number of pages: 30 Posted: 17 Aug 2017
Olaf Korn and Marc Oliver Rieger
University of Goettingen (Gottingen) and University of Trier
Downloads 101 (305,914)
Citation 2

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risk management, hedging, derivatives, regret aversion

21.

Quantile Risk Premiums

Number of pages: 52 Posted: 30 Nov 2020
University of Goettingen (Gottingen), University of Goettingen (Gottingen) and University of Goettingen (Gottingen)
Downloads 95 (318,240)

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Quantiles, Moment Swaps, Risk Premiums

22.

Desgning Robust Stock Option Plans

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 32 Posted: 25 Aug 2008
University of Goettingen (Gottingen), affiliation not provided to SSRN and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 75 (367,162)
Citation 1

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stock option plans, robustness, accounting valuation, corporate governance

23.

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, University of Goettingen (Gottingen) and University of Goettingen (Gottingen)
Downloads 1 (746,326)
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Abstract:

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beta, option‐implied information