Olaf Korn

University of Goettingen (Göttingen)

Platz der Gottinger Sieben 3

Gottingen, D-37073

Germany

  • University of Goettingen (Göttingen)

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SCHOLARLY PAPERS

23

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12

CROSSREF CITATIONS

9

Scholarly Papers (23)

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1.

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 (Göttingen) and University of Goettingen (Gottingen) - Chair of Finance
Downloads 1,306 (24,033)

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

2.

Market Depth and Order Size

Number of pages: 25 Posted: 16 Apr 1997
Olaf Korn and Alexander Kempf
University of Goettingen (Göttingen) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,298 (24,262)
Citation 5

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3.

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 (Göttingen) and Georg-August-Universität Göttingen
Downloads 1,229 (26,310)
Citation 2

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portfolio selection, option-implied information

4.

Pricing and Hedging Oil Futures: A Two-Regime Approach

Number of pages: 49 Posted: 14 Nov 2000
Wolfgang Bühler, Wolfgang Bühler, Olaf Korn and Rainer Schoebel
University of New South Wales, Australian Business SchoolUniversity of Mannheim - Department of Business Administration and Finance, University of Goettingen (Göttingen) and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 1,122 (30,051)
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 (Göttingen)
Downloads 994 (35,735)

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Commodities, Futures, Forwards, Pricing, Hedging

6.

How Should the Long-term Investor Harvest Variance Risk Premiums?

Number of pages: 49 Posted: 20 Dec 2021
Julian Dörries, Olaf Korn and Gabriel Power
University of Goettingen (Göttingen), University of Goettingen (Göttingen) and Université Laval - Département de Finance et Assurance
Downloads 684 (59,309)

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Variance Risk Premium, Variance Factor, Trading Strategies, Long-term Investor

7.

Liquidity Risk and Hedging Decisions

Number of pages: 25 Posted: 27 Aug 2003
Olaf Korn
University of Goettingen (Göttingen)
Downloads 679 (59,888)
Citation 1

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Hedging, Forwards, Collateral, Liquidity, Risk Management

8.

Trading System and Market Integration

Downloads 612 (68,500)

Trading System and Market Integration

96-02
Number of pages: 22 Posted: 01 Feb 1997
Olaf Korn and Alexander Kempf
University of Goettingen (Göttingen) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 612 (67,662)

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Trading System and Market Integration

Posted: 21 Sep 1998
Olaf Korn and Alexander Kempf
University of Goettingen (Göttingen) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)

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9.

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 (Göttingen) and Georg-August-Universität Göttingen
Downloads 540 (80,093)
Citation 1

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beta, option-implied information

10.

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 (Göttingen) and University of Goettingen (Göttingen)
Downloads 376 (122,871)

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

11.

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 (Göttingen) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 371 (124,742)

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Illiquidity, equity options, option returns, hedging costs

12.

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 (Göttingen) and European Central Bank (ECB)
Downloads 370 (125,095)

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

13.

Risk Management with Default-Risky Forwards

Downloads 327 (143,103)
Citation 1

Risk Management with Default-Risky Forwards

Number of pages: 32 Posted: 21 Apr 2004
Olaf Korn
University of Goettingen (Göttingen)
Downloads 163 (278,658)

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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 (Göttingen)
Downloads 119 (357,708)

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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 (Göttingen)
Downloads 45 (623,370)

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Default Risk, Forwards, Hedging, Production, Risk Management

14.

Do Lead-Lag Effects Affect Derivative Pricing?

Number of pages: 37 Posted: 10 Mar 2002
Olaf Korn and Marliese Uhrig-Homburg
University of Goettingen (Göttingen) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 321 (145,935)
Citation 1

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option pricing, lead-lag effects

15.

Hedging Price Risk When Payment Dates are Uncertain

Downloads 296 (158,926)

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 (Göttingen)
Downloads 206 (226,456)

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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 (Göttingen)
Downloads 90 (433,862)

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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 (Göttingen)
Downloads 273 (172,846)
Citation 3

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risk management, hedging, quantity risk, exotic derivatives

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 (Göttingen), University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Goettingen (Göttingen)
Downloads 213 (219,940)

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

18.

Designing Robust Stock Option Plans

Number of pages: 31 Posted: 20 Feb 2008
Olaf Korn, Marliese Uhrig-Homburg and Clemens Paschke
University of Goettingen (Göttingen), Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN
Downloads 212 (220,923)

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stock option plans, robustness, accounting valuation, corporate governance

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 (Göttingen) and University of Goettingen (Gottingen) - Chair of Finance
Downloads 162 (279,794)
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 (Göttingen) and University of Trier
Downloads 124 (345,469)
Citation 2

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risk management, hedging, derivatives, regret aversion

21.

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 (Göttingen), affiliation not provided to SSRN and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 86 (442,262)
Citation 1

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stock option plans, robustness, accounting valuation, corporate governance

22.

Quantile Risk Premiums

Number of pages: 49 Posted: 30 Nov 2020 Last Revised: 13 May 2021
Felix Brinkmann, Julian Dörries and Olaf Korn
University of Goettingen (Göttingen), University of Goettingen (Göttingen) and University of Goettingen (Göttingen)
Downloads 76 (475,417)

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Quantiles, Moment Swaps, Risk Premiums

23.

Drawdown Measures: Are They All the Same?

Posted: 04 Nov 2019 Last Revised: 15 Dec 2021
Olaf Korn, Philipp M. Möller and Christian Schwehm
University of Goettingen (Göttingen), University of Goettingen (Göttingen) and Quoniam Asset Management GmbH

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Asset Management, Drawdown, Risk Measures, Performance Measurement