Holger Kraft

Available identifiers

zbMath Open kraft.holgerMaRDI QIDQ402098

List of research outcomes

Publication	Date of Publication	Type
Pandemic portfolio choice	2022-10-17	Paper
Solving life-cycle problems with biometric risk by artificial insurance markets	2022-06-13	Paper
Dynamic asset allocation with relative wealth concerns in incomplete markets	2020-05-19	Paper
Housing Habits and Their Implications for Life-Cycle Consumption and Investment*	2019-10-25	Paper
Consumption-portfolio choice with preferences for cash	2019-03-27	Paper
When do jumps matter for portfolio optimization?	2018-11-13	Paper
Asset allocation over the life cycle: how much do taxes matter?	2018-11-01	Paper
Partial information about contagion risk, self-exciting processes and portfolio optimization	2018-11-01	Paper
Consumption habits and humps	2017-09-08	Paper
Optimal consumption and investment with Epstein-Zin recursive utility	2017-01-12	Paper
A dynamic programming approach to constrained portfolios	2015-07-28	Paper
Stochastic differential utility as the continuous-time limit of recursive utility	2014-08-27	Paper
The policyholder's static and dynamic decision making of life insurance and pension payments	2014-08-05	Paper
Consumption-portfolio optimization with recursive utility in incomplete markets	2013-02-07	Paper
Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents	2013-01-20	Paper
What is the impact of stock market contagion on an investor's portfolio choice?	2012-02-10	Paper
Large traders and illiquid options: hedging vs. manipulation	2012-01-13	Paper
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?	2011-11-27	Paper
Optimal Housing, Consumption, and Investment Decisions over the Life Cycle	2011-08-09	Paper
How to invest optimally in corporate bonds: a reduced-form approach	2010-01-19	Paper
OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED	2009-11-27	Paper
Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach	2009-09-13	Paper
Asset allocation with contagion and explicit bankruptcy procedures	2009-02-10	Paper
Bankruptcy, Counterparty Risk, and Contagion*	2007-12-12	Paper
Portfolio problems stopping at first hitting time with application to default risk	2006-08-18	Paper
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility	2005-12-09	Paper
OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH	2005-10-19	Paper
ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET	2005-05-09	Paper
Optimal portfolios with stochastic interest rates and defaultable assets.	2004-09-30	Paper
Elasticity approach to portfolio optimization	2004-03-07	Paper
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates	2002-06-23	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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