Holger Kraft

11 papers Journal 11
YearRankTypeTitle / Venue / Authors
2023 J jnl
Pandemic portfolio choice.
Eur. J. Oper. Res.
Holger Kraft, Farina Weiss
2017 J jnl
Optimal consumption and investment with Epstein-Zin recursive utility.
Finance Stochastics
Holger Kraft, Thomas Seiferling, 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
A dynamic programming approach to constrained portfolios.
Eur. J. Oper. Res.
Holger Kraft, Mogens Steffensen
2013 J jnl
Consumption-portfolio optimization with recursive utility in incomplete markets.
Finance Stochastics
Holger Kraft, Frank Thomas Seifried, Mogens Steffensen
2013 J jnl
Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies.
Manag. Sci.
Björn Bick, Holger Kraft, Claus Munk
2011 J jnl
Optimal Housing, Consumption, and Investment Decisions over the Life Cycle.
Manag. Sci.
Holger Kraft, Claus Munk
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
2006 J jnl
Portfolio problems stopping at first hitting time with application to default risk.
Math. Methods Oper. Res.
Holger Kraft, Mogens Steffensen
2003 J jnl
Elasticity approach to portfolio optimization.
Math. Methods Oper. Res.
Holger Kraft
2002 J jnl
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates.
SIAM J. Control. Optim.
Ralf Korn, Holger Kraft