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Hedging with small uncertainty aversion

Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - In: Finance and stochastics 21 (2017) 1, pp. 1-64

Persistent link: https://www.econbiz.de/10011944064

Optimal consumption and investment with Epstein-Zin recursive utility

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - In: Finance and stochastics 21 (2017) 1, pp. 187-226

Persistent link: https://www.econbiz.de/10011944068

Interbank interest rates : funding liquidity risk and XIBOR basis spreads

Gallitschke, Janek; Seifried, Stefanie; Seifried, Frank … - In: Journal of banking & finance 78 (2017), pp. 142-152

Persistent link: https://www.econbiz.de/10011815126

Generalized Pareto processes and fund liquidity risk

Desmettre, Sascha; Kock, Johan de; Ruckdeschel, Peter; … - In: Quantitative finance 18 (2018) 8, pp. 1327-1343

Persistent link: https://www.econbiz.de/10011911542

Optimal portfolios when variances and covariances can jump

Branger, Nicole; Muck, Matthias; Seifried, Frank Thomas; … - In: Journal of economic dynamics & control 85 (2017), pp. 59-89

Persistent link: https://www.econbiz.de/10011919303

Recursive utility and stochastic differential utility: from discrete to continuous time

Seiferling, Thomas - 2016

Persistent link: https://www.econbiz.de/10011794077

Consumption habits and humps

Kraft, Holger; Munk, Claus; Seifried, Frank Thomas; … - In: Economic theory : official journal of the Society for … 64 (2017) 2, pp. 305-330

Persistent link: https://www.econbiz.de/10011740105

Optimal asset allocation with fixed-term securities

Desmettre, Sascha; Seifried, Frank Thomas - In: Journal of economic dynamics & control 66 (2016), pp. 1-19

Persistent link: https://www.econbiz.de/10011708349

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - first version: March 6, 2014; this version: August 4, 2014

Persistent link: https://www.econbiz.de/10010440677

A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES

KORN, RALF; SEIFRIED, FRANK THOMAS - In: International Journal of Theoretical and Applied … 16 (2013) 06, pp. 1350035-1

In a general semi-martingale financial market with possibly nonlinear wealth dynamics, incomplete information, and ambiguity, we show that the optimal consumption decision of an agent with logarithmic preferences can be separated from the agent's investment decisions. Using minimal assumptions...

Persistent link: https://www.econbiz.de/10011011277