Olaf Korn

University of Goettingen (Gottingen)

Platz der Gottinger Sieben 3

Gottingen, D-37073

Germany

  • University of Goettingen (Gottingen)

    • Email
    • Tel: ++49 551 39 7265
    • Fax: ++49 551 39 7665
SCHOLARLY PAPERS

23

DOWNLOADS
Rank 4,536

SSRN RANKINGS

Top 4,536

in Total Papers Downloads

10,490

SSRN CITATIONS
Rank 33,151

SSRN RANKINGS

Top 33,151

in Total Papers Citations

9

CROSSREF CITATIONS

15

Scholarly Papers (23)

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

Abstract:

Loading...

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)

Abstract:

Loading...

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

Abstract:

Loading...

4.

Pricing and Hedging Oil Futures: A Two-Regime Approach

Number of pages: 49 Posted: 14 Nov 2000
Wolfgang Bühler, Olaf Korn and Rainer Schoebel
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

Abstract:

Loading...

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)

Abstract:

Loading...

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

Abstract:

Loading...

Hedging, Forwards, Collateral, Liquidity, Risk Management

7.

Trading System and Market Integration

Downloads 593 ( 53,169)

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)

Abstract:

Loading...

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)

Abstract:

Loading...

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

Abstract:

Loading...

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
Olaf Korn, Philipp M. Möller and Christian Schwehm
University of Goettingen (Gottingen), University of Goettingen (Gottingen) and Quoniam Asset Management GmbH
Downloads 427 (79,803)
Citation 1

Abstract:

Loading...

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)

Abstract:

Loading...

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)

Abstract:

Loading...

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
Stefan Kanne, Olaf Korn and Marliese Uhrig-Homburg
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)

Abstract:

Loading...

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

Abstract:

Loading...

option pricing, lead-lag effects

14.

Risk Management with Default-Risky Forwards

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)

Abstract:

Loading...

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)

Abstract:

Loading...

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)

Abstract:

Loading...

Default Risk, Forwards, Hedging, Production, Risk Management

15.

Hedging Price Risk When Payment Dates are Uncertain

Downloads 274 (130,868)

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)

Abstract:

Loading...

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)

Abstract:

Loading...

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

Abstract:

Loading...

risk management, hedging, quantity risk, exotic derivatives

17.

Designing Robust Stock Option Plans

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

Abstract:

Loading...

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
Felix Brinkmann, Alexander Kempf and Olaf Korn
University of Goettingen (Gottingen), University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Goettingen (Gottingen)
Downloads 190 (186,096)

Abstract:

Loading...

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
Rainer Baule, Olaf Korn and Laura-Chloé Kuntz
University of Hagen, University of Goettingen (Gottingen) and University of Goettingen (Gottingen) - Chair of Finance
Downloads 104 (299,995)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

risk management, hedging, derivatives, regret aversion

21.

Quantile Risk Premiums

Number of pages: 52 Posted: 30 Nov 2020
Felix Brinkmann, Julian Dörries and Olaf Korn
University of Goettingen (Gottingen), University of Goettingen (Gottingen) and University of Goettingen (Gottingen)
Downloads 95 (318,240)

Abstract:

Loading...

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
Olaf Korn, Clemens Paschke and Marliese Uhrig-Homburg
University of Goettingen (Gottingen), affiliation not provided to SSRN and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 75 (367,162)
Citation 1

Abstract:

Loading...

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)
  • Add to Cart

Abstract:

Loading...

beta, option‐implied information