The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-time financial market model under a joint budget and downside risk constraint. The risk constraint is given in terms of a class of convex risk measures. We do not impose any specific assumptions on...

We investigate the problem of maximizing the robust utility functional <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\inf_{Q \in \mathcal{Q}} E_Qu(X)$</EquationSource> </InlineEquation>. We give the dual characterization for its solution for both a complete and an incomplete market model. To this end, we introduce the new notion of reverse f-projections and use techniques...</equationsource></inlineequation>

We derive a continuous time approximation of the evolutionary market selection model of Blume and Easley (1992). Conditions on the payoff structure of the assets are identified that guarantee convergence. We show that the continuous time approximation equals the solution of an integral equation...

Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of this type of risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions....

Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite-dimensional) Wiener process and a compensated Poisson random measure. A major...

[Schlussbetrachtung] Die bisher in den Steuerwissenschaften publizierte Spenden-Literatur verzichtete sowohl auf eine Modellierung der Steuerwirkungen als auch auf die Berücksichtigung umsatzsteuerlicher Konsequenzen. Der vorliegende Beitrag schließt diese Lücke, indem er einer detaillierten...