Frank Thomas Seifried

Available identifiers

zbMath Open seifried.frank-thomasMaRDI QIDQ402099

List of research outcomes

Publication	Date of Publication	Type
Optimal investment for retail investors	2023-09-28	Paper
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit	2022-09-29	Paper
THE AFFINE RATIONAL POTENTIAL MODEL	2022-03-11	Paper
Portfolio optimization with optimal expected utility risk measures	2022-01-20	Paper
Continuous-time mean field games with finite state space and common noise	2021-10-19	Paper
Lifetime investment and consumption with recursive preferences and small transaction costs	2021-03-23	Paper
Dynamic asset allocation with relative wealth concerns in incomplete markets	2020-05-19	Paper
Implied risk aversion: an alternative rating system for retail structured products	2019-10-16	Paper
Estimating discrete dividends by no-arbitrage	2018-11-19	Paper
Generalized Pareto processes and fund liquidity risk	2018-11-14	Paper
When do jumps matter for portfolio optimization?	2018-11-13	Paper
Optimal asset allocation with fixed-term securities	2018-08-10	Paper
Optimal portfolios when variances and covariances can jump	2018-08-09	Paper
Insurance markets and unisex tariffs: is the European Court of Justice improving or destroying welfare?	2018-07-11	Paper
Stochastic impulse control with regime-switching dynamics	2018-05-29	Paper
Small‐cost asymptotics for long‐term growth rates in incomplete markets	2018-05-25	Paper
Backward nonlinear expectation equations	2018-03-01	Paper
Optimal expected utility risk measures	2018-01-11	Paper
Consumption habits and humps	2017-09-08	Paper
A General Verification Result for Stochastic Impulse Control Problems	2017-03-17	Paper
Hedging with small uncertainty aversion	2017-01-12	Paper
Optimal consumption and investment with Epstein-Zin recursive utility	2017-01-12	Paper
THE MULTI-CURVE POTENTIAL MODEL	2016-01-08	Paper
Robust worst-case optimal investment	2015-08-03	Paper
LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS	2015-04-15	Paper
Stochastic differential utility as the continuous-time limit of recursive utility	2014-08-27	Paper
A concise characterization of optimal consumption with logarithmic preferences	2013-11-15	Paper
Optimal consumption and investment for a large investor: an intensity-based control framework	2013-10-11	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
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?	2011-11-27	Paper
Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach	2011-04-27	Paper
Optimal investment with deferred capital gains taxes	2010-03-19	Paper
A worst-case approach to continuous-time portfolio optimisation	2010-01-13	Paper
Finite State Mean Field Games with Common Shocks	N/A	Paper

Research outcomes over time

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