Antje Brigitte Mahayni

Mercator School of Management

Prof. Dr.

Lotharstraße 65

Duisburg, Nordrhein-Westfalen 47057

Germany

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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Top 21,957

in Total Papers Citations

46

CROSSREF CITATIONS

12

Scholarly Papers (21)

1.

Effectiveness of Cppi Strategies Under Discrete-Time Trading

Number of pages: 28 Posted: 27 Apr 2006
Sven Balder, Michael Brandl and Antje Brigitte Mahayni
University of Duisburg-Essen - Mercator School of Management, University of Bonn - Department of Banking and Finance and Mercator School of Management
Downloads 927 (47,981)
Citation 10

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Portfolio insurance, discrete-time trading, return guarantees, gap risk, volatility risk

2.

The Risk Management of Minimum Return Guarantees

BuR Business Research Journal, Vol. 1, No. 1 May 2008
Number of pages: 23 Posted: 31 Jul 2003
Antje Brigitte Mahayni and Erik Schlögl
Mercator School of Management and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 636 (78,954)
Citation 6

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Minimum return guarantee, defined-contribution pension plans, life-insurance, uncertain volatility, conservative pricing, robust hedging, model misspecification, model risk

3.

Performance Evaluation of Optimized Portfolio Insurance Strategies

Number of pages: 30 Posted: 01 Dec 2012 Last Revised: 26 Oct 2013
Daniel Zieling, Antje Brigitte Mahayni and Sven Balder
University of Duisburg-Essen - Mercator School of Management, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 537 (97,731)
Citation 7

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Portfolio insurance, Performance evaluation, S&P 500, Regime switching EGARCH model, Transaction costs, Trigger trading, Gap risk

4.

Effectiveness of CPPI Strategies under Discrete-Time Trading

Number of pages: 26 Posted: 03 Mar 2008
Antje Brigitte Mahayni
Mercator School of Management
Downloads 526 (100,219)

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Portfolio insurance, discrete-time trading, return guarantees, gap risk, volatility risk.

5.

Effectiveness of Hedging Strategies Under Model Misspecification and Trading Restrictions

Number of pages: 25 Posted: 09 Mar 2002
Antje Brigitte Mahayni
Mercator School of Management
Downloads 521 (101,424)
Citation 5

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Hedging, Model Misspecification, Trading Restrictions, Superhedging

6.

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives

April 1999
Number of pages: 24 Posted: 04 May 1999
Antje Brigitte Mahayni, Erik Schlögl and Lutz Schlögl
Mercator School of Management, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Bonn - Institute of Statistics
Downloads 487 (110,030)
Citation 1

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7.

Tractable Hedging: An Implementation of Robust Hedging Strategies

Number of pages: 31 Posted: 28 May 2004
Nicole Branger and Antje Brigitte Mahayni
University of Münster - Finance Center Muenster and Mercator School of Management
Downloads 354 (158,733)
Citation 1

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Uncertain volatility, stochastic volatility, robust hedging, tractable hedging, model misspeci cation, incomplete markets

8.

Robustness of Stable Volatility Strategies

Number of pages: 53 Posted: 04 Dec 2014 Last Revised: 13 May 2015
Nicole Branger, Antje Brigitte Mahayni and Daniel Zieling
University of Münster - Finance Center Muenster, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 304 (186,585)
Citation 1

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Stable volatility strategies, jump diffusion processes, model risk, robustness, performance evaluation

9.

Time-Consistency of Optimal Investment under Smooth Ambiguity

Number of pages: 35 Posted: 22 Sep 2017 Last Revised: 28 Feb 2019
Anne Balter, Antje Brigitte Mahayni and Nikolaus Schweizer
Tilburg University, Mercator School of Management and Tilburg School of Economics and Management
Downloads 198 (283,806)
Citation 1

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Optimal Investment, Smooth Ambiguity, Ambiguity Aversion, Time-Consistency, Pre-Commitment

10.

Variable Annuities and the Option to Seek Risk - Why Should You Diversify?

Number of pages: 45 Posted: 05 Jul 2010 Last Revised: 24 Apr 2012
Antje Brigitte Mahayni and Judith C. Schneider
Mercator School of Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 197 (285,109)
Citation 3

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Guaranteed accumulation benefits, fair contracts, feasible contracts, background risk diversification, utility losses

11.

Return Guarantees with Delayed Payment

German Economic Review, 2006
Number of pages: 27 Posted: 17 May 2006
Klaus Sandmann and Antje Brigitte Mahayni
University of Bonn - The Bonn Graduate School of Economics and Mercator School of Management
Downloads 156 (349,641)

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Periodic return guarantees, life insurance, robust hedging

12.

Minimum Return Guarantees, Investment Caps, and Investment Flexibility

Number of pages: 31 Posted: 18 Dec 2012 Last Revised: 21 Aug 2015
Antje Brigitte Mahayni and Judith C. Schneider
Mercator School of Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 155 (351,545)

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Minimum Return Guarantees, Investment Caps, Investment Flexibility, Pareto efficient Contract Design

13.

On the Optimal Design of Insurance Contracts with Guarantees

Insurance: Mathematics and Economics, Vol. 4, 2010
Number of pages: 25 Posted: 01 Jul 2010 Last Revised: 04 Jul 2010
Nicole Branger, Antje Brigitte Mahayni and Judith C. Schneider
University of Münster - Finance Center Muenster, Mercator School of Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 145 (371,162)

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Interest Rate Guarantee, Optimal Portfolio Choice, Utility Loss, Guarantee Scheme, CPPI

14.

Tractable Hedging With Additional Instruments

Number of pages: 31 Posted: 05 Mar 2007
Nicole Branger and Antje Brigitte Mahayni
University of Münster - Finance Center Muenster and Mercator School of Management
Downloads 124 (418,909)
Citation 1

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Stochastic Volatility, Robust Hedging, Tractable Hedging, Uncertain Volatility Model, Additional Hedge Instrument

15.

Natural Hedging with Fix and Floating Strike Guarantees

Number of pages: 26 Posted: 07 Nov 2017
Antje Brigitte Mahayni, O L and Katharina Stein
Mercator School of Management, affiliation not provided to SSRN and Mercator School of Management
Downloads 112 (452,062)

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Guarantee Schemes, Derivatives, Life Insurance, Return Rate Guarantees, Natural Hedging, Asset Liability Management

16.

Precautionary Saving and Insurance Under Generalized Mean-Variance Preferences

Number of pages: 31 Posted: 30 Mar 2017
Nicole Branger, Antje Brigitte Mahayni, Nikolaus Schweizer and Cathleen Sende
University of Münster - Finance Center Muenster, Mercator School of Management, Tilburg School of Economics and Management and University of Duisburg-Essen - Mercator School of Management
Downloads 102 (483,469)

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Precautionary saving, insurance, mean variance preferences

17.

Minimum Return Rate Guarantees Under Default Risk - Optimal Design of Quantile Guarantees

Number of pages: 27 Posted: 30 Mar 2017
Antje Brigitte Mahayni, O L and Sascha Offermann
Mercator School of Management, affiliation not provided to SSRN and University of Duisburg-Essen - Mercator School of Management
Downloads 87 (535,516)

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Guarantee schemes, derivatives, life insurance, return rate guarantees, default risk, regulatory requirements, utility to the insured

18.

Pricing and Upper Price Bounds of Relax Certificates

Review of Managerial Science, Forthcoming
Number of pages: 30 Posted: 05 Jul 2010
Nicole Branger, Antje Brigitte Mahayni and Judith C. Schneider
University of Münster - Finance Center Muenster, Mercator School of Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 62 (646,794)

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Certificates, Barrier Option, Price Bounds

19.

Optimal Collective Investment: An Analysis of Individual Welfare

Number of pages: 30 Posted: 04 Jan 2023
Nicole Branger, An Chen, Antje Brigitte Mahayni and Thai Nguyen
University of Münster - Finance Center Muenster, Ulm University - Institute of Insurance Science, Mercator School of Management and Université Laval
Downloads 43 (761,145)

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collective utility function, risk sharing, financial fairness, Pareto-optimality

20.

The Benefit of Life Insurance Contracts with Capped Index Participation When Stock Prices are Subject to Jump Risk

Posted: 30 Sep 2015 Last Revised: 06 Mar 2017
Antje Brigitte Mahayni and Matthias Muck
Mercator School of Management and University of Bamberg

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Derivatives, Life Insurance, Capped Index Participation, Monthly Summed Cap, Select Products

21.

Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Zeitschrift für Betriebswirtschaft, Vol. 76, No. 4, pp. 347-372, 2006
Posted: 04 Jul 2011
Antje Brigitte Mahayni and Michael Suchanecki
Mercator School of Management and affiliation not provided to SSRN

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Turbo-Certificates, put-call-symmetry, static hedging, barrier options, product design