Publications
Branger, N., R. M. Flacke, P. Meyerhof, S. Windmüller: Stock Returns in Global Value Chains: The Role of Upstreamness and Downstreamness, Journal of Empirical Finance (74), 2023, 101437.
Branger, N., Hanke, M., Weissensteiner, A.: The Information Content of Wheat Derivatives Regarding the Ukrainian War, Journal of Futures Markets 44 (3), 2023, 420-431.
Branger, N., A. Chen, A. Mahayni, T. Nguyen: Optimal collective investment: an analysis of individual welfare , Mathematics and Financial Economic 17, 2023, 101–125.
Bohl, M., N. Branger, M. Trede: Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid?, Applied Economic Perspectives and Policy 44, 2022, 1534-1553..
Branger, N., Konermann, P., Meinerding, C., Schlag, C.: Equilibrium Asset Pricing in Directed Networks, Review of Finance 25 (3), 2021,777–818.
Branger, N., Herold, M., Muck, M.: International Stochastic Discount Factors and Stochastic Correlation, Journal of Banking and Finance, Vol 123, 2021, 106108.
Branger, N., Flacke, R. M., Gräber, N.: Monopoly Power in the Oil Market and the Macroeconomy, Energy Economics 85, 2020, 104597.
Branger, N., Konermann, P., Schlag, C.: Optimists and Pessimists in (In)Complete Markets, Journal of Financial and Quantitative Analysis, Vol. 55 (8), 2020, 2466-2499.
Branger, N., Larsen, L., Munk, C.: Hedging Recessions, Journal of Economic Dynamics and Control, Vol. 107, 2019.
Branger, N., Lucivjanska, K., Weissensteiner, A.: Optimal Granularity for Portfolio Choice, Journal of Empirical Finance, Vol. 50, 2019, 125-146.
Branger, N., Muck, M., Weisheit, S.: Correlation Risk and International Portfolio Choice, Journal of Futures Markets, Vol. 39 (1), 2019, 128-146.
Branger, N., Rodrigues, P., Schlag, C.: The Role of Volatility Shocks and Rare Events in Long-Run Risk Models, Journal of Economic Dynamics and Control, Vol. 86, 2018, 95-122.
Branger, N., Muck, M., Seifried, F., Weisheit, S.: Optimal Portfolios when Variances and Covariances can Jump, Journal of Economic Dynamics and Control, Vol. 85, 2017, 59-89.
Bohl, M. T., Branger, N., Trede, M.: The Case for Herding is Stronger than You Think, Journal of Banking and Finance, Vol. 85, 2017, 30-40.
Branger, N., Kraft, H., Meinerding, C.: The Dynamics of Crises and the Equity Premium, Review of Financial Studies, Vol. 29, 2016, 232-270.
Ascheberg, M., Branger, N., Kraft, H., Seifried, F.: When Do Jumps Matter for Portfolio Optimization?, Quantitative Finance, Vol. 16 (8), 2016, 1297-1311.
Branger, N., Schlag, C., Wu, L.: 'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors, (former title: Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run?), Journal of Economic Dynamics and Control, Vol. 61, 2015, 303-333.
Branger, N., Mahayni, A., Zieling, D.: Robustness of Stable Volatility Strategies, Journal of Economic Dynamics and Control, Vol. 60, 2015, 134–151.
Branger, N., Hansis, A.: Earning the Right Premium on the Right Factor in Portfolio Planning, Journal of Banking and Finance, Vol. 59, 2015, 367-383.
Branger, N., Kraft, H., Meinerding, C.: Partial Information about Contagion Risk, Endogenous Self-Exciting Processes and Portfolio Optimization, Journal of Economic Dynamics and Control, Vol. 39, 2014, 18–36.
Branger, N., Larsen, L. S.: Robust Portfolio Choice with Uncertainty about Jump and Diffusion Risk, Journal of Banking and Finance, Vol. 37, Issue 12, December 2013, 5036–5047.
Branger, N., Larsen, L. S., Munk, C.: Robust Portfolio Choice with Ambiguity and Learning about Return Predictability, Journal of Banking and Finance, Vol. 37, Issue 5, May 2013, 1397-1411.
Branger, N., Muck, M.: Keep On Smiling? The Pricing of Quanto Options when all Covariances are Stochastic, Journal of Banking and Finance, Vol. 36, Issue 6, 2012, 1577-1591.
Branger, N., Schlag, C., Krautheim, E., Seeger, N.: Hedging under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others..., Journal of Futures Markets, Vol. 32, Issue 5, 2012, 397-430.
Branger, N., Hansis, A.: Asset Allocation: How Much Does Model Choice Matter?, Journal of Banking and Finance, Vol. 36, Issue 7, July 2012, 1865–1882.
Branger, N., Schlag, C., Wu, L.: Pricing Two Heterogeneous Trees, Journal of Financial and Quantitative Analysis, Vol. 46, Issue 5, 2011, 1437-1462.
Branger, N., Mahayni, A.: Tractable Hedging with Additional Hedge Instruments, Review of Derivatives Research, Vol. 14, Issue 1, 2011, 85-114.
Branger, N., Mahayni, A., Schneider, J. C.: Pricing and Upper Price Bounds of Relax Certificates, Review of Managerial Science, Vol. 5, Issue 4, 2011, 309-336.
Branger, N., Mahayni, A., Schneider, J.C.: On the Optimal Design of Insurance Contracts with Guarantees, Insurance: Mathematics and Economics, Vol. 46, Issue 3, 2010, 485-492.
Branger, N., Breuer, B., Schlag, C.: Discrete-Time Implementation of Continuous-Time Portfolio Strategies, European Journal of Finance, Vol. 16, Issue 2, 2010, 137-152.
Branger, N., O. Reichmann, M. Wobben: Pricing electricity derivatives on an hourly basis, Journal of Energy Markets 3 (3), 2010, 51-90
Branger, N., Kraft, H., Meinerding, C.: What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?, Insurance: Mathematics and Economics, Vol. 45, Issue 1, 2009, 94-112.
Branger, N., Schlag, C., Schneider, E.: Optimal Portfolios When Volatility Can Jump, Journal of Banking and Finance, Vol. 32, Issue 6, 2008, 1087-1097.
Branger, N., Schlag, C.: Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?, Journal of Financial and Quantitative Analysis, Vol. 43, Issue 4, 2008, 1055-1090.
Branger, N., Breuer, B., Schlag, C.: Optimal Derivative Strategies with Discrete Rebalancing, Journal of Derivatives, Vol. 16, No. 2, Winter 2008, 67-84.
Branger, N., Schlag, C.: Option Betas: Risk Measures for Options, International Journal of Theoretical and Applied Finance, Vol. 10, Issue 7, 2007, 1137-1157.
Branger, N., Mahayni, A.: Tractable Hedging - An Implementation of Robust Hedging Strategies, Journal of Economic Dynamics and Control, Vol. 30, Issue 11, 2006, 1937-1962.
Branger, N.: Pricing Derivative Securities Using Cross-Entropy - An Economic Analysis, International Journal of Theoretical and Applied Finance, Vol. 7, Issue 1, 2004, 63-82.
Branger, N., Esser, A., Schlag, C.: Attainability of European Path-Independent Claims in Incomplete Markets, Finance Research Letters, Vol. 1, Issue 3, 2004, 190-195.
Branger, N., Schlag, C.: Why is the Index Smile So Steep?, Review of Finance, Vol. 8, Issue 1, 2004, 109-127.