Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit (with Erhan Bayraktar, Christoph Belak and Sören Christensen), SIAM Journal on Control and Optimization 60: 2712-2736 (2022). DOI: 10.1137/21M1462179.
Endogenous Habits and Equilibrium Asset Prices (with Holger Kraft and André Meyer-Wehmann), Journal of Economic Behavior and Organization 197: 279-300 (2022). DOI: 10.1016/j.jebo.2022.03.005.
Optimal Investment for Retail Investors (with Christoph Belak and Lukas Mich), Mathematical Finance 32: 555-594 (2022). DOI: 10.1111/mafi.12336.
Portfolio Optimization with Optimal Expected Utility Risk Measures (with Sebastian Geissel, Holger Graf and Julia Herbinger), Annals of Operations Research 309: 59-77 (2022). DOI: 10.1007/s10479-021-04403-7.
Branching Diffusions with Jumps and Valuation with Systemic Counterparties (with Christoph Belak and Daniel Hoffmann), Journal of Computational Finance 25: 51-86 (2021). DOI: 10.21314/JCF.2021.011.
Continuous-Time Mean Field Games with Finite State Space and Common Noise (with Christoph Belak and Daniel Hoffmann), Applied Mathematics and Optimization 84: 3173-3216 (2021). DOI: 10.1007/s00245-020-09743-7.
The Affine Rational Potential Model (with The Anh Nguyen), International Journal of Theoretical and Applied Finance 24: 2150031 (2021). DOI: 10.1142/s021902492150031x.
Dynamic Asset Allocation with Relative Wealth Concerns in Incomplete Markets (with Holger Kraft and André Meyer-Wehmann), Journal of Economic Dynamics and Control 113: 103857 (2020). DOI: 10.1016/j.jedc.2020.103857.
Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs (with Yaroslav Melnyk and Johannes Muhle-Karbe), Mathematical Finance 30: 1135-1167 (2020). DOI: 10.1111/mafi.12245.
Implied Risk Aversion: An Alternative Rating System for Retail Structured Products (with Holger Fink, Sebastian Geissel and Jörn Saß), Review of Derivatives Research 22: 357-387 (2019). DOI: 10.1007/s11147-018-9151-0.
Optimal Expected Utility Risk Measures (with Sebastian Geissel and Jörn Saß), Statistics & Risk Modeling 35: 73-87 (2018). DOI: 10.1515/strm-2017-0027.
Generalized Pareto Processes and Liquidity (with Sascha Desmettre, Johan de Kock and Peter Ruckdeschel), Quantitative Finance 18: 1327-1343 (2018). DOI: 10.1080/14697688.2017.1410214.
Backward Nonlinear Expectation Equations (with Christoph Belak and Thomas Seiferling), Mathematics and Financial Economics 12: 111-134 (2018). DOI: 10.1007/s11579-017-0199-7.
Small-Cost Asymptotics for Long-Term Growth Rates in Incomplete Markets (with Yaroslav Melnyk), Mathematical Finance 28: 668-711 (2018). DOI: 10.1111/mafi.12152.
Optimal Portfolios when Variances and Covariances Can Jump (with Nicole Branger, Matthias Muck and Stefan Weisheit), Journal of Economic Dynamics and Control 85: 59-89 (2017). DOI: 10.1016/j.jedc.2017.09.008.
Stochastic Impulse Control with Regime-Switching Dynamics (with Yaroslav Melnyk and Ralf Korn), European Journal of Operational Research 260: 1024-1042 (2017). DOI: 10.1016/j.ejor.2016.12.029.
Interbank Interest Rates: Funding Liquidity Risk and XIBOR Basis Spreads (with Janek Gallitschke and Stefanie Seifried), Journal of Banking and Finance 78: 142-152 (2017). DOI: 10.1016/j.jbankfin.2017.01.002.
A General Verification Result for Stochastic Impulse Control Problems (with Christoph Belak and Sören Christensen), SIAM Journal on Control and Optimization 55: 627-649 (2017). DOI: 10.1137/16m1082822.
Optimal Consumption and Investment with Epstein-Zin Recursive Utility (with Holger Kraft and Thomas Seiferling), Finance and Stochastics 21: 187-226 (2017). DOI: 10.1007/s00780-016-0316-0.
Consumption Habits and Humps (with Holger Kraft, Claus Munk and Sebastian Wagner), Economic Theory 64: 305-330 (2017). DOI: 10.1007/s00199-016-0984-1.
Hedging with Small Uncertainty Aversion (with Sebastian Herrmann and Johannes Muhle-Karbe), Finance and Stochastics 21: 1-64 (2017). DOI: 10.1007/s00780-016-0309-z.
Estimating Discrete Dividends by No-Arbitrage (with Sascha Desmettre and Sarah Grün), Quantitative Finance 17: 261-274 (2017). DOI: 10.1080/14697688.2016.1176239.
Optimal Asset Allocation with Fixed-Term Securities (with Sascha Desmettre), Journal of Economic Dynamics and Control 66: 1-19 (2016). DOI: 10.1016/j.jedc.2016.03.001.
When Do Jumps Matter for Portfolio Optimization? (with Marius Ascheberg, Nicole Branger and Holger Kraft), Quantitative Finance 16: 1297-1311 (2016). DOI: 10.1080/14697688.2015.1131844.
The Multi-Curve Potential Model (with The Anh Nguyen), International Journal of Theoretical and Applied Finance 18: 150049 (2015). DOI: 10.1142/s0219024915500491.
Worst-Case Consumption-Portfolio Optimization (with Sascha Desmettre and Ralf Korn), International Journal of Theoretical and Applied Finance 18: 150004 (2015). DOI: 10.1142/s0219024915500041.
Robust Worst-Case Optimal Investment (with Sascha Desmettre, Peter Ruckdeschel and Ralf Korn), OR Spectrum 37: 677-701 (2015). DOI: 10.1007/s00291-014-0370-y.
Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility (with Holger Kraft), Journal of Economic Theory 151: 528-550 (2014). DOI: 10.1016/j.jet.2013.12.007.
Insurance Markets and Unisex Tariffs: Is the European Court of Justice improving or destroying welfare? (with Jörn Saß), Scandinavian Actuarial Journal 2014-3: 228-254 (2014). DOI: 10.1080/03461238.2012.683450.
A Concise Characterization of Optimal Consumption with Logarithmic Preferences (with Ralf Korn), International Journal of Theoretical and Applied Finance 16: 1350035 (2013). DOI: 10.1142/s0219024913500350.
Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets (with Holger Kraft and Mogens Steffensen), Finance and Stochastics 17: 161-196 (2013). DOI: 10.1007/s00780-012-0184-1.
Optimal Consumption and Investment for a Large Investor: An Intensity-Based Control Framework (with Michael Busch and Ralf Korn), Mathematical Finance 23: 687-717 (2013). DOI: 10.1111/j.1467-9965.2012.00528.x.
Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach, Mathematics of Operations Research 35: 559-579 (2010). DOI: 10.1287/moor.1100.0459.
Foundations of Continuous-Time Recursive Utility: Differentiability and Normalization of Certainty Equivalents (with Holger Kraft), Mathematics and Financial Economics 3: 115-138 (2010). DOI: 10.1007/s11579-010-0030-1.
Optimal Investment with Deferred Capital Gains Taxes, Mathematical Methods of Operations Research 71: 181-199 (2010). DOI: 10.1007/s00186-009-0291-8.
Asset Allocation and Liquidity Breakdowns: What if your broker does not answer the phone? (with Peter Diesinger and Holger Kraft), Finance and Stochastics 14: 343-374 (2010). DOI: 10.1007/s00780-008-0085-5.
A Worst-Case Approach to Continuous-Time Portfolio Optimization (with Ralf Korn), Radon Series on Computational and Applied Mathematics 8: 327-345 (2009). DOI: 10.1515/9783110213140.327.