| Publication | Date of Publication | Type |
|---|
Asset diversification versus climate action
International Economic Review | 2024-10-09 | Paper |
Pandemic portfolio choice
European Journal of Operational Research | 2022-10-17 | Paper |
Solving life-cycle problems with biometric risk by artificial insurance markets
Scandinavian Actuarial Journal | 2022-06-13 | Paper |
Dynamic asset allocation with relative wealth concerns in incomplete markets
Journal of Economic Dynamics and Control | 2020-05-19 | Paper |
Housing habits and their implications for life-cycle consumption and investment
Review of Finance | 2019-10-25 | Paper |
Consumption-portfolio choice with preferences for cash
Journal of Economic Dynamics and Control | 2019-03-27 | Paper |
When do jumps matter for portfolio optimization?
Quantitative Finance | 2018-11-13 | Paper |
Partial information about contagion risk, self-exciting processes and portfolio optimization
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Asset allocation over the life cycle: how much do taxes matter?
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Consumption habits and humps
Economic Theory | 2017-09-08 | Paper |
Optimal consumption and investment with Epstein-Zin recursive utility
Finance and Stochastics | 2017-01-12 | Paper |
A dynamic programming approach to constrained portfolios
European Journal of Operational Research | 2015-07-28 | Paper |
Stochastic differential utility as the continuous-time limit of recursive utility
Journal of Economic Theory | 2014-08-27 | Paper |
The policyholder's static and dynamic decision making of life insurance and pension payments
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2014-08-05 | Paper |
Consumption-portfolio optimization with recursive utility in incomplete markets
Finance and Stochastics | 2013-02-07 | Paper |
Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
Mathematics and Financial Economics | 2013-01-20 | Paper |
What is the impact of stock market contagion on an investor's portfolio choice?
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Large traders and illiquid options: hedging vs. manipulation
Journal of Economic Dynamics and Control | 2012-01-13 | Paper |
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
Finance and Stochastics | 2011-11-27 | Paper |
Optimal housing, consumption, and investment decisions over the life cycle
Management Science | 2011-08-09 | Paper |
How to invest optimally in corporate bonds: a reduced-form approach
Journal of Economic Dynamics and Control | 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
International Journal of Theoretical and Applied Finance | 2009-11-27 | Paper |
Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
ASTIN Bulletin | 2009-09-13 | Paper |
Asset allocation with contagion and explicit bankruptcy procedures
Journal of Mathematical Economics | 2009-02-10 | Paper |
Bankruptcy, Counterparty Risk, and Contagion*
Review of Finance | 2007-12-12 | Paper |
Portfolio problems stopping at first hitting time with application to default risk
Mathematical Methods of Operations Research | 2006-08-18 | Paper |
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
Quantitative Finance | 2005-12-09 | Paper |
OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
Mathematical Finance | 2005-05-09 | Paper |
Optimal portfolios with stochastic interest rates and defaultable assets.
Lecture Notes in Economics and Mathematical Systems | 2004-09-30 | Paper |
Elasticity approach to portfolio optimization
Mathematical Methods of Operations Research | 2004-03-07 | Paper |
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
SIAM Journal on Control and Optimization | 2002-06-23 | Paper |
