Olaf Korn

Georg-August-Universität Göttingen

Professor of Finance

Platz der Göttinger Sieben 3

D-37073 Göttingen

Germany

  • Georg-August-Universität Göttingen

SCHOLARLY PAPERS

22

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45

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Scholarly Papers (22)

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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
Alexander Kempf, Olaf Korn and Sven Sassning
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
Wolfgang Bühler, Olaf Korn and Rainer Schoebel
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

7.

Trading System and Market Integration

Downloads 586 ( 44,448)

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)

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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.

Risk Management with Default-Risky Forwards

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
Stefan Kanne, Olaf Korn and Marliese Uhrig-Homburg
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

14.

Hedging Price Risk When Payment Dates are Uncertain

Downloads 269 (111,343)

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
Olaf Korn, Marliese Uhrig-Homburg and Clemens Paschke
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
Felix Brinkmann, Alexander Kempf and Olaf Korn
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
Olaf Korn, Clemens Paschke and Marliese Uhrig-Homburg
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
Rainer Baule, Olaf Korn and Laura-Chloé Kuntz
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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beta, option‐implied information