Working Papers

Implied Risk Aversion: An Alternative Rating System for Retail Structured Products (with Holger Fink, Sebastian Geissel and Jörn Saß), working paper (2017), available via SSRN.

Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs (with Johannes Muhle-Karbe and Yaroslav Melynk), working paper (2017), available via SSRN.

Epstein-Zin Stochastic Differential Utility: Existence, Uniqueness, Concavity, and Utility Gradients (with Thomas Seiferling), working paper (2016), available via SSRN.

Consumption and Wage Humps in a Life-Cycle Model with Education (with Holger Kraft, Claus Munk and Mogens Steffensen), working paper (2015), available via SSRN.