Marius Strittmatter

About me

My research interest is in the area of financial economics and econometrics. Previous work focuses on exploiting information implied by option prices in the context of portfolio allocation and risk-aversion. My current work centres on the estimation of risk-premia processes using option prices. If you would like to get in touch with me please send a message to ms2g15(at)soton.ac.uk.

Publications

Optimal Portfolio Allocation using Option Implied Information. Journal of Futures Markets (2020). With Maria Kyriacou and Jose Olmo.

Uncovering the Distribution of Option Implied Risk Aversion. Journal of Mathematical Finance (2019). With Maria Kyriacou and Jose Olmo.

Working paper

Consumption and Portfolio Decisions when Expected Returns are Time Varying: An Option Implied Approach.

Other

Refereeing: Journal of Mathematical Finance

Article at the UoS: Evidence to Policy