Benjamin R. Auer

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Swing option-implied volatility Review of Derivatives Research	2025-12-16	Paper
Minimum variance investing under sustainability constraints Economics Letters	2025-11-21	Paper
Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion Mathematical Methods of Operations Research	2025-06-13	Paper
A note on Steuer and Utz's (2023) multi-objective optimization approach for generating sustainability-efficient fronts European Journal of Operational Research	2024-07-02	Paper
Computational dynamics of information ratios Economics Letters	2024-05-07	Paper
Comparing the small-sample estimation error of conceptually different risk measures International Journal of Theoretical and Applied Finance	2021-10-20	Paper
Pricing and risk of swing contracts in natural gas markets Review of Derivatives Research	2019-06-03	Paper
How does the choice of Value-at-Risk estimator influence asset allocation decisions? Quantitative Finance	2019-02-06	Paper
Sufficient conditions under which SSD- and MR-efficient sets are identical European Journal of Operational Research	2016-06-27	Paper
On the role of skewness, kurtosis, and the location and scale condition in a Sharpe ratio performance evaluation setting	2015-10-20	Paper
A note on empirical Sharpe ratio dynamics Economics Letters	2012-12-18	Paper

Research outcomes over time

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