Publications
Books
Optimal portfolios with stochastic interest rates and default risk, 2004, Springer, Heidelberg, Lecture Notes in Economics and Mathematical Systems.
Articles in refereed journals
Asset diversification vs. climate action (with Christoph Hambel and Rick van der Ploeg), International Economic Review, forthcoming, 2024.
Pandemic portfolio choice (with Farina Weiss), European Journal of Operational Research 305, 451-462, 2023. Online Appendix
When should retirees tap their home equity? (with Christoph Hambel and Andre Meyer-Wehmann), Journal of Banking and Finance 154, 106967, 2023.
Endogenous habits and equilibrium asset prices (with Andre Meyer-Wehmann and Frank Seifried), Journal of Economic Behavior and Organization 197, 279-300, 2022.
Bequest motives in consumption-portfolio decisions with recursive utility (with Claus Munk and Farina Weiss), Journal of Banking and Finance 138, 106428, 2022.
Solving life cycle problems with biometric risk by artificial insurance markets (with Christoph Hambel and Claus Munk), Scandinavian Actuarial Journal, Issue 4, 307-327, 2022.
The social cost of carbon in a non-cooperative world (with Christoph Hambel and Eduardo Schwartz), Journal of International Economics 131, 103490, 2021. Online Appendix
Optimal carbon abatement in a stochastic equilibrium model with climate change (with Christoph Hambel and Eduardo Schwartz), European Economic Review 132, 103642, 2021. Online Appendix
Dynamic asset allocation with relative wealth concerns in incomplete markets (with Andre Meyer-Wehmann and Frank Seifried), Journal of Economic Dynamics and Control 113, 103857, 2020.
Predictors and portfolios over the life cycle (with Claus Munk and Farina Weiss), Journal of Banking and Finance 100, 1-27, 2019.
Consumption-portfolio choice with preferences for cash (with Farina Weiss), Journal of Economic Dynamics and Control 98, 40-59, 2019.
Housing habits and their implications for life-cycle consumption and investment (with Claus Munk and Sebastian Wagner), Review of Finance 22, 1737-1762, 2018. Online Appendix
Leaning against the wind: debt financing in the face of aversity (with Michael Brennan), Financial Management 47, 485-518, 2018.
Growth options and firm valuation (with Eduardo Schwartz and Farina Weiss), European Financial Management 24, 209-238, 2018.
Life insurance demand under health shock risk (with Christoph Hambel, Lorenz Schendel, and Mogens Steffensen), Journal of Risk and Insurance 84, 1171-1202, 2017. Online Appendix
Consumption habits and humps (with Claus Munk, Frank Seifried and Sebastian Wagner), Economic Theory 64, 305-330, 2017.
Optimal consumption and investment with Epstein-Zin recursive utility (with Thomas Seiferling and Frank Seifried), Finance and Stochastics 21, 187-226, 2017.
The dynamics of crises and the equity premium (with Nicole Branger and Christoph Meinerding), Review of Financial Studies 29, 232-270, 2016.
When do jumps matter for portfolio optimization? (with Marius Ascheberg, Nicole Branger, and Frank Seifried), Quantitative Finance 16, 1297-1311, 2016.
Cash flow multipliers and optimal investment decisions (with Eduardo Schwartz), European Financial Management 21, 399-429, 2015.
Stochastic differential utility as the continuous-time limit of recursive utility (with Frank Seifried), Journal of Economic Theory 151, 528-550, 2014.
Partial information about contagion risk, endogenous self-exciting processes and portfolio optimization (with Nicole Branger and Christoph Meinerding), Journal of Economic Dynamics and Control 39, 18-36, 2014.
Government policies, residential mortgage defaults, and the boom and bust cycle of housing prices (with Marius Ascheberg, Robert Jarrow, and Yildiray Yildirim), Real Estate Economics 42, 627-661, 2014.
Assessing the discriminatory power of credit scores under censoring (with Gerald Kroisandt and Marlene Mueller), Journal of Credit Risk 10(4), 71-94, 2014.
Solving constrained consumption-investment problems by simulation of artificial market strategies (with Bjoern Bick and Claus Munk), Management Science 59, 485-503, 2013.
A dynamic programming approach to constrained portfolios (with Mogens Steffensen), European Journal of Operational Research 229, 453-461, 2013.
Hedging structured credit products during the credit crisis: A horse race of 10 models (with Marius Ascheberg and Bjoern Bick), Journal of Banking and Finance 37, 1687-1705, 2013.
Asset allocation over the life cycle: How much do taxes matter? (with Marcel Fischer and Claus Munk), Journal of Economic Dynamics and Control 37, 2217-2240, 2013.
Consumption-portfolio optimization with recursive utility in incomplete markets (with Frank Seifried and Mogens Steffensen), Finance and Stochastics 17, 161-196, 2013.
Optimal housing, consumption, and investment decisions over the life-cycle (with Claus Munk), Management Science 57, 1025-1041, 2011. Online Appendix
Large traders and illiquid options: hedging vs. manipulation (with Christoph Kuehn), Journal of Economic Dynamics and Control 35, 1898-1915, 2011.
Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents (with Frank Seifried), Mathematics and Financial Economics 3, 115-138, 2010.
Asset allocation and liquidity breakdowns: What if your broker does not answer the phone? (with Peter Diesinger and Frank Seifried), Finance and Stochastics 14, 343-374, 2010.
What is the impact of stock market contagion on an investor's portfolio choice? (with Nicole Branger and Christoph Meinerding), Insurance: Mathematics and Economics 45, 94-112, 2009.
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 12, 767-796, 2009.
Asset allocation with contagion and explicit bankruptcy procedures (with Mogens Steffensen), Journal of Mathematical Economics 45, 147-167, 2009.
How to invest optimally in corporate bonds (with Mogens Steffensen), Journal of Economic Dynamics and Control 32, 348-385, 2009.
Optimal consumption and insurance: A continuous-time Markov chain approach (with Mogens Steffensen), ASTIN Bulletin 38, 231-257, 2008.
The policyholder's static and dynamic decision making of life insurance and pension payments (with Mogens Steffensen), Blaetter der DGVFM 29, 211-244, 2008.
Continuous-time delegated portfolio management (with Ralf Korn), Financial Markets and Portfolio Mangement 22, 67-90, 2008.
Bankruptcy, counterparty risk, and contagion (with Mogens Steffensen), Review of Finance 11, 209-252, 2007.
Bond durations: Corporates vs. Treasuries (with Claus Munk), Journal of Banking and Finance 31, 3720-3741, 2007.
Pitfalls in static superhedging of barrier options, Finance Research Letters 4, 2-9, 2007.
Portfolio problems stopping at first hitting time with application to default risk (with Mogens Steffensen), Mathematical Methods of Operations Research 63, 123-150, 2006.
Optimal portfolios and Heston's stochastic volatility model, Quantitative Finance 5, 303-313, 2005.
On the stability of continuous-time portfolio problems with stochastic opportunity set (with Ralf Korn), Mathematical Finance 14, 403-414, 2004.
Optimal portfolios with defaultable securities - A firm value approach (with Ralf Korn), International Journal of Theoretical and Applied Finance 6, 793-819, 2003.
Elasticity approach to portfolio optimization, Mathematical Methods of Operations Research 58, 159-182, 2003.
A stochastic control approach to portfolio problems with stochastic interest rates (with Ralf Korn), SIAM Journal on Control and Optimization 40, 1250-1269, 2001.
Principal-agent problems: First-best, second-best and third-best (in German, with Peter Reichling), Credit and Capital Markets 33, 151-181, 2000.
Other publications
CDOs in chains (with Johan de Kock and Mogens Steffensen), WILMOTT Magazine, May issue, 2007.
Curved barriers and default, WILMOTT Magazine, July issue, 68-73, 2003.
Aktuelle Finanzderivate fuer Privatanleger – Produkte aus dem Legokasten der Emissionsbanken (with Siegfried Trautmann), WIST – Wirtschaftswissenschaftliches Studium, 539-542, 2001.