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Frank Thomas Seifried
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- affiliation: University of Trier
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2020 – today
- 2022
- [j12]Sebastian Geissel
, Holger Graf, Julia Herbinger, Frank Thomas Seifried:
Portfolio optimization with optimal expected utility risk measures. Ann. Oper. Res. 309(1): 59-77 (2022) - [j11]Erhan Bayraktar
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit. SIAM J. Control. Optim. 60(5): 2712-2736 (2022)
2010 – 2019
- 2017
- [j10]Ralf Korn, Yaroslav Melnyk, Frank Thomas Seifried:
Stochastic impulse control with regime-switching dynamics. Eur. J. Oper. Res. 260(3): 1024-1042 (2017) - [j9]Sebastian Herrmann
Hedging with small uncertainty aversion. Finance Stochastics 21(1): 1-64 (2017) - [j8]Holger Kraft, Thomas Seiferling, Frank Thomas Seifried:
Optimal consumption and investment with Epstein-Zin recursive utility. Finance Stochastics 21(1): 187-226 (2017) - [j7]Christoph Belak
A General Verification Result for Stochastic Impulse Control Problems. SIAM J. Control. Optim. 55(2): 627-649 (2017) - 2015
- [j6]Sascha Desmettre
Robust worst-case optimal investment. OR Spectr. 37(3): 677-701 (2015) - 2014
- [j5]Holger Kraft, Frank Thomas Seifried:
Stochastic differential utility as the continuous-time limit of recursive utility. J. Econ. Theory 151: 528-550 (2014) - 2013
- [j4]Holger Kraft, Frank Thomas Seifried, Mogens Steffensen
Consumption-portfolio optimization with recursive utility in incomplete markets. Finance Stochastics 17(1): 161-196 (2013) - 2010
- [j3]Peter Diesinger, Holger Kraft, Frank Thomas Seifried:
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? Finance Stochastics 14(3): 343-374 (2010) - [j2]Frank Thomas Seifried:
Optimal investment with deferred capital gains taxes - A simple martingale method approach. Math. Methods Oper. Res. 71(1): 181-199 (2010) - [j1]Frank Thomas Seifried:
Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach. Math. Oper. Res. 35(3): 559-579 (2010)
Coauthor Index
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