Antje Brigitte Mahayni

Mercator School of Management

Prof. Dr.

Lotharstraße 65

Duisburg, Nordrhein-Westfalen 47057

Germany

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 20,546

in Total Papers Citations

26

CROSSREF CITATIONS

12

Scholarly Papers (20)

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 867 (27,208)
Citation 9

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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 605 (44,467)
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.

Effectiveness of Hedging Strategies Under Model Misspecification and Trading Restrictions

EFA 2002 Berlin Meetings Presented Paper; University of Bonn Statistics Technical Report
Number of pages: 25 Posted: 09 Mar 2002
Antje Brigitte Mahayni
Mercator School of Management
Downloads 517 (54,391)
Citation 5

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Hedging, Model Misspecification, Trading Restrictions, Superhedging

4.

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 456 (63,674)
Citation 1

Abstract:

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5.

Effectiveness of CPPI Strategies under Discrete-Time Trading

Number of pages: 26 Posted: 03 Mar 2008
Antje Brigitte Mahayni
Mercator School of Management
Downloads 439 (66,584)

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

6.

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 429 (68,466)
Citation 7

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

7.

Tractable Hedging: An Implementation of Robust Hedging Strategies

EFA 2004 Maastricht Meetings Paper No. 3698; EFMA 2004 Basel Meetings Paper
Number of pages: 31 Posted: 28 May 2004
Nicole Branger and Antje Brigitte Mahayni
University of Muenster - Finance Center Muenster and Mercator School of Management
Downloads 329 (93,136)

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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 Muenster - Finance Center Muenster, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 276 (112,793)
Citation 1

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

9.

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 University of Muenster - Finance Center Muenster
Downloads 164 (185,263)
Citation 2

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

10.

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 130 (224,175)

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Periodic return guarantees, life insurance, robust hedging

11.

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 University of Muenster - Finance Center Muenster
Downloads 127 (228,238)
Citation 2

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

12.

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 Muenster - Finance Center Muenster, Mercator School of Management and University of Muenster - Finance Center Muenster
Downloads 104 (263,753)

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

13.

Tractable Hedging With Additional Instruments

Number of pages: 31 Posted: 05 Mar 2007
Nicole Branger and Antje Brigitte Mahayni
University of Muenster - Finance Center Muenster and Mercator School of Management
Downloads 98 (274,518)

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

14.

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 97 (276,305)

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

15.

Natural Hedging with Fix and Floating Strike Guarantees

Number of pages: 26 Posted: 07 Nov 2017
Antje Brigitte Mahayni, Oliver Lubos and Katharina Stein
Mercator School of Management, Mercator School of Management and Mercator School of Management
Downloads 62 (358,602)

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

16.

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

Number of pages: 27 Posted: 30 Mar 2017
Antje Brigitte Mahayni, Oliver Lubos and Sascha Offermann
Mercator School of Management, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 62 (358,602)

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

17.

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 Muenster - Finance Center Muenster, Mercator School of Management, Tilburg School of Economics and Management and University of Duisburg-Essen - Mercator School of Management
Downloads 61 (361,585)

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Precautionary saving, insurance, mean variance preferences

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 Muenster - Finance Center Muenster, Mercator School of Management and University of Muenster - Finance Center Muenster
Downloads 42 (425,778)

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Certificates, Barrier Option, Price Bounds

19.

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

20.

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 Deutsche Asset Management

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