Frank Thomas Seifried

12 papers Journal 12
YearRankTypeTitle / Venue / Authors
2022 J jnl
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit.
SIAM J. Control. Optim.
Erhan Bayraktar, Christoph Belak, Sören Christensen, Frank Thomas Seifried
2022 J jnl
Portfolio optimization with optimal expected utility risk measures.
Ann. Oper. Res.
Sebastian Geissel, Holger Graf, Julia Herbinger, Frank Thomas Seifried
2017 J jnl
A General Verification Result for Stochastic Impulse Control Problems.
SIAM J. Control. Optim.
Christoph Belak, Sören Christensen, Frank Thomas Seifried
2017 J jnl
Hedging with small uncertainty aversion.
Finance Stochastics
Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried
2017 J jnl
Optimal consumption and investment with Epstein-Zin recursive utility.
Finance Stochastics
Holger Kraft, Thomas Seiferling, Frank Thomas Seifried
2017 J jnl
Stochastic impulse control with regime-switching dynamics.
Eur. J. Oper. Res.
Ralf Korn, Yaroslav Melnyk, Frank Thomas Seifried
2015 J jnl
Robust worst-case optimal investment.
OR Spectr.
Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried
2014 J jnl
Stochastic differential utility as the continuous-time limit of recursive utility.
J. Econ. Theory
Holger Kraft, Frank Thomas Seifried
2013 J jnl
Consumption-portfolio optimization with recursive utility in incomplete markets.
Finance Stochastics
Holger Kraft, Frank Thomas Seifried, Mogens Steffensen
2010 J jnl
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
Finance Stochastics
Peter Diesinger, Holger Kraft, Frank Thomas Seifried
2010 J jnl
Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach.
Math. Oper. Res.
Frank Thomas Seifried
2010 J jnl
Optimal investment with deferred capital gains taxes - A simple martingale method approach.
Math. Methods Oper. Res.
Frank Thomas Seifried