Frank Thomas Seifried

University of Trier

Department IV - Mathematics

Universitätsring 19

Trier, 54296

Germany

http://sites.google.com/site/seifriedfinance/

SCHOLARLY PAPERS

33

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6,479

SSRN CITATIONS
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Top 12,365

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60

CROSSREF CITATIONS

37

Scholarly Papers (33)

1.

Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets

Number of pages: 32 Posted: 03 Jun 2010 Last Revised: 28 Jun 2011
Holger Kraft, Frank Thomas Seifried and Mogens Steffensen
Goethe University Frankfurt, University of Trier and University of Copenhagen
Downloads 775 (42,040)
Citation 12

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consumption-portfolio optimization, recursive utility, stochastic control approach, stochastic volatility, unspanned state process, Campbell-Shiller approximation

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

SAFE Working Paper No. 52
Number of pages: 43 Posted: 04 Jun 2014 Last Revised: 06 Jul 2016
Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
Goethe University Frankfurt, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 351 (110,776)
Citation 7

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consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Number of pages: 40 Posted: 15 Apr 2014 Last Revised: 04 Jul 2016
Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
Goethe University Frankfurt, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 294 (134,453)
Citation 5

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consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, FBSDE

3.

Post-Crisis Interest Rates: XIBOR Mechanics and Basis Spreads

Number of pages: 49 Posted: 13 Jun 2014
Janek Gallitschke, Stefanie Müller and Frank Thomas Seifried
KPMG International, LLP - KPMG AG WPG (Frankfurt), Nagler & Company and University of Trier
Downloads 480 (77,700)
Citation 5

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post-crisis interest rates, LIBOR, XIBOR, interbank cash market, basis spreads, liquidity freeze, multi-curve models

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

Number of pages: 21 Posted: 29 Jun 2011 Last Revised: 12 May 2013
Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt and University of Trier
Downloads 206 (191,390)
Citation 9

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stochastic differential utility, recursive utility, convergence, backward stochastic differential equation

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

SAFE Working Paper No. 17
Number of pages: 23 Posted: 13 May 2013
Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt and University of Trier
Downloads 180 (216,216)

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stochastic diff erential utility, recursive utility, convergence, backward stochastic di fferential equation

5.

Foundations of Continuous-Time Recursive Utility: Differentiability and Normalization of Certainty Equivalents

Number of pages: 34 Posted: 16 Dec 2008 Last Revised: 10 Feb 2009
Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt and University of Trier
Downloads 366 (106,479)
Citation 3

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recursive utility, stochastic differential utility, Levy framework, certainty equivalents, normalization, dynamic programming

6.

Implied Risk Aversion: An Alternative Rating System for Retail Structured Products

Number of pages: 28 Posted: 28 Aug 2015 Last Revised: 14 Dec 2018
Holger Fink, Sebastian Geissel, Jörn Sass and Frank Thomas Seifried
Nuertingen-Geislingen University of Applied Sciences, University of Applied Sciences Brandenburg, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 320 (123,521)
Citation 2

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structured products, risk measures, optimal expected utility, implied risk aversion

7.
Downloads 313 (126,364)
Citation 1

When Do Jumps Matter for Portfolio Optimization?

SAFE Working Paper No. 16
Number of pages: 39 Posted: 04 May 2013 Last Revised: 28 Nov 2015
Marius Ascheberg, Nicole Branger, Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt, University of Muenster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 171 (226,065)
Citation 2

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Optimal investment, jumps, stochastic volatility, welfare loss

When Do Jumps Matter for Portfolio Optimization?

Number of pages: 38 Posted: 29 Apr 2013 Last Revised: 28 Nov 2015
Marius Ascheberg, Nicole Branger, Holger Kraft and Frank Thomas Seifried
Goethe University Frankfurt, University of Muenster - Finance Center Muenster, Goethe University Frankfurt and University of Trier
Downloads 142 (264,353)
Citation 2

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Optimal investment, jumps, stochastic volatility, welfare loss

8.
Downloads 295 (134,642)
Citation 3

Consumption Habits and Humps

SAFE Working Paper No. 15
Number of pages: 37 Posted: 04 May 2013 Last Revised: 11 Jul 2015
Holger Kraft, Claus Munk, Frank Thomas Seifried and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 174 (222,673)
Citation 1

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Consumption hump, life-cycle utility maximization, habit formation, impatience

Consumption Habits and Humps

Number of pages: 36 Posted: 29 Apr 2013 Last Revised: 11 Jul 2015
Holger Kraft, Claus Munk, Frank Thomas Seifried and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 121 (298,710)

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consumption hump, life-cycle utility maximization, habit formation, impatience

9.

Hedging with Small Uncertainty Aversion

Finance and Stochastics, Vol. 21, No. 1, pp. 1-64, 2017, Swiss Finance Institute Research Paper No. 15-19
Number of pages: 48 Posted: 03 Jul 2015 Last Revised: 17 Apr 2017
Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
University of Manchester, Imperial College London - Department of Mathematics and University of Trier
Downloads 279 (142,715)
Citation 1

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volatility uncertainty, ambiguity aversion, option pricing and hedging, asymptotics

10.

Optimal Expected Utility Risk Measures

Number of pages: 17 Posted: 28 Aug 2015 Last Revised: 30 Nov 2017
Sebastian Geissel, Jörn Sass and Frank Thomas Seifried
University of Applied Sciences Brandenburg, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 247 (161,261)
Citation 2

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risk measure, certainty equivalent, utility maximization

11.

Epstein-Zin Stochastic Differential Utility: Existence, Uniqueness, Concavity, and Utility Gradients

Number of pages: 24 Posted: 03 Jul 2015 Last Revised: 01 Jun 2016
Thomas Seiferling and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 219 (180,980)
Citation 5

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recursive utility, stochastic differential utility, utility gradient, BSDEs

12.

Forecasting Discrete Dividends by No-Arbitrage

Number of pages: 15 Posted: 05 May 2015
Sascha Desmettre, Sarah Grün and Frank Thomas Seifried
Johannes Kepler University Linz, Fraunhofer ITWM and University of Trier
Downloads 202 (195,135)

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dividends, prediction, arbitrage, put-call parity, market-implied discount curve

13.

Stochastic Impulse Control with Regime-Switching Dynamics

Number of pages: 43 Posted: 08 Apr 2015 Last Revised: 02 Jan 2017
Ralf Korn, Yaroslav Melnyk and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics, affiliation not provided to SSRN and University of Trier
Downloads 199 (197,731)

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Control, Product Life Cycle, Stochastic Impulse Control, Intervention Costs, Regime Shifts

Branching Diffusions with Jumps and Valuation with Systemic Counterparties

Number of pages: 29 Posted: 11 Sep 2019 Last Revised: 14 Jan 2020
Christoph Belak, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 185 (211,016)

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Branching Diffusion, Mixed Local-Nonlocal PDE, Nonlinear Jumps, Monte Carlo Simulation, Credit Valuation Adjustment

Branching Diffusions with Jumps, and Valuation with Systemic Counterparties

Journal of Computational Finance, Vol. 25, No. 3, 2021
Number of pages: 36 Posted: 22 Dec 2021
Christoph Belak, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 1 (849,684)
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branching diffusion, mixed local–nonlocal partial differential equations (PDEs), nonlinear jumps, Monte Carlo simulation, credit valuation adjustment

15.

Continuous-Time Mean Field Games with Finite State Space and Common Noise

Number of pages: 34 Posted: 02 Oct 2019 Last Revised: 15 May 2020
Christoph Belak, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 176 (220,390)

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mean field games, common noise, Markov chains, regime shifts

Consumption and Wage Humps in a Life-Cycle Model with Education

SAFE Working Paper No. 53
Number of pages: 49 Posted: 21 Jun 2014 Last Revised: 17 Apr 2019
Holger Kraft, Claus Munk, Frank Thomas Seifried and Mogens Steffensen
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen
Downloads 172 (224,909)

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Education, leisure, consumption hump, wage hump

Consumption and Wage Humps in a Life-Cycle Model with Education

Posted: 11 Jun 2014 Last Revised: 02 Oct 2017
Holger Kraft, Claus Munk, Frank Thomas Seifried and Mogens Steffensen
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen

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Education, leisure, consumption hump, wage hump

17.

Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs

Number of pages: 39 Posted: 18 May 2017
Yaroslav Melnyk, Johannes Muhle‐Karbe and Frank Thomas Seifried
affiliation not provided to SSRN, University of Michigan at Ann Arbor and University of Trier
Downloads 168 (229,305)
Citation 2

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lifetime investment and consumption, recursive utility, Epstein-Zin, transaction costs, asymptotics

18.

Optimal Asset Allocation with Fixed-Term Securities

Number of pages: 35 Posted: 03 Oct 2014 Last Revised: 03 Nov 2015
Sascha Desmettre and Frank Thomas Seifried
Johannes Kepler University Linz and University of Trier
Downloads 151 (250,719)
Citation 1

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optimal portfolio, fixed-term investment, bank deposit, closed-end security, martingale method

19.

Worst-Case Consumption-Portfolio Optimization

Number of pages: 30 Posted: 26 Mar 2013
Sascha Desmettre, Ralf Korn and Frank Thomas Seifried
Johannes Kepler University Linz, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 148 (254,858)
Citation 6

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worst-case, crash, portfolio, consumption, verification

20.

Small-Cost Asymptotics for Long-Term Growth Rates in Incomplete Markets

Number of pages: 44 Posted: 10 Nov 2014 Last Revised: 12 Jun 2016
Yaroslav Melnyk and Frank Thomas Seifried
affiliation not provided to SSRN and University of Trier
Downloads 137 (270,969)
Citation 1

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transaction costs, Morton-Pliska, leading-order optimality, asymptotic expansion, Kelly criterion, pathwise optimality

21.

Dynamic Asset Allocation with Relative Wealth Concerns in Incomplete Markets

Number of pages: 42 Posted: 24 May 2019 Last Revised: 17 Dec 2019
Holger Kraft, André Meyer-Wehmann and Frank Thomas Seifried
Goethe University Frankfurt, Goethe University Frankfurt and University of Trier
Downloads 119 (300,924)
Citation 2

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Portfolio Choice, Social Preferences, Fund Manager, Growth Optimal Portfolio, Stochastic Differential Game, Verification Theorem, Incomplete Markets, Stochastic Opportunity Set

22.

Optimal Investment for Retail Investors with Floored and Capped Costs

Number of pages: 33 Posted: 03 Sep 2019
Christoph Belak, Lukas Mich and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 112 (313,996)

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Portfolio Optimization, Transaction Costs, Retail Investor

23.

Robust Worst-Case Optimal Investment

Number of pages: 24 Posted: 05 Jul 2013
Sascha Desmettre, Ralf Korn, Peter Ruckdeschel and Frank Thomas Seifried
Johannes Kepler University Linz, University of Kaiserslautern - Department of Mathematics, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 109 (319,929)
Citation 1

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worst-case, crash scenario, robust optimization, Knightian uncertainty, efficiency, min-max approach

24.

Portfolio Optimization with Optimal Expected Utility Risk Measures

Number of pages: 23 Posted: 30 Jun 2019 Last Revised: 19 May 2020
Holger Fink, Sebastian Geissel, Julia Herbinger and Frank Thomas Seifried
Nuertingen-Geislingen University of Applied Sciences, University of Applied Sciences Brandenburg, affiliation not provided to SSRN and University of Trier
Downloads 104 (330,242)
Citation 1

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portfolio optimization, risk measures, value at risk, optimal expected utility

25.

Generalized Pareto Processes and Liquidity

Number of pages: 26 Posted: 24 Feb 2017
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel and Frank Thomas Seifried
Johannes Kepler University Linz, Sanlam - Client Solutions and Research, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 87 (370,047)

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ARGP process, GPD, liquidity risk, data features

26.

Endogenous Habits and Equilibrium Asset Prices

Number of pages: 49 Posted: 08 Jul 2021 Last Revised: 27 Dec 2021
Holger Kraft, André Meyer-Wehmann and Frank Thomas Seifried
Goethe University Frankfurt, Goethe University Frankfurt and University of Trier
Downloads 60 (453,478)

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general equilibrium, asset pricing, social preferences, dynamic game

27.

Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

Number of pages: 29
Erhan Bayraktar, Christoph Belak, Sören Christensen and Frank Thomas Seifried
University of Michigan at Ann Arbor - Department of Mathematics, Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and University of Trier
Downloads 23

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Portfolio Optimization, Transaction Costs, Stochastic Perron's Method, Viscosity Solutions

28.

Small‐Cost Asymptotics for Long‐Term Growth Rates in Incomplete Markets

Mathematical Finance, Vol. 28, Issue 2, pp. 668-711, 2018
Number of pages: 44 Posted: 16 Mar 2018
Yaroslav Melnyk and Frank Thomas Seifried
University of Lausanne and University of Trier
Downloads 1 (812,505)
Citation 3
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asymptotic expansion, Kelly criterion, leading‐order optimality, Morton–Pliska, pathwise optimality, transaction costs

29.

A General Verification Result for Stochastic Impulse Control Problems

SIAM Journal on Control and Optimization, Vol. 55, No. 2, pp. 627-649, 2017
Posted: 03 Jul 2016 Last Revised: 02 Sep 2019
Christoph Belak, Sören Christensen and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Gothenburg University and University of Trier

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Impulse Control, Stochastic Perron, Superharmonic Functions, Optimal Controls

30.

Optimal Portfolios when Variances and Covariances can Jump

Posted: 12 Mar 2015 Last Revised: 08 Oct 2017
Nicole Branger, Matthias Muck, Frank Thomas Seifried and Stefan Weisheit
University of Muenster - Finance Center Muenster, University of Bamberg, University of Trier and Talanx AG - HDI Global SE

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Optimal portfolio choice, stochastic correlation, Wishart process, derivatives, jump risk, covariance jumps

31.

Backward Nonlinear Expectation Equations

Mathematics and Financial Economics, Vol. 12, No. 1, pp. 111-134, 2018
Posted: 11 Jan 2015 Last Revised: 10 Jan 2019
Christoph Belak, Thomas Seiferling and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Kaiserslautern - Department of Mathematics and University of Trier

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backward stochastic differential equation, nonlinear expectation, random G-expectation, recursive utility, volatility uncertainty

32.

Optimal Consumption and Investment for a Large Investor: An Intensity‐Based Control Framework

Mathematical Finance, Vol. 23, Issue 4, pp. 687-717, 2013
Number of pages: 31 Posted: 06 Aug 2013
Michael Busch, Ralf Korn and Frank Thomas Seifried
University of Kaiserslautern, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 0 (830,090)
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optimal consumption and investment, large investor, market manipulation, regime‐shift model

33.

Optimal Investment with Deferred Capital Gains Taxes

Posted: 15 Dec 2008 Last Revised: 14 Apr 2014
Frank Thomas Seifried
University of Trier

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optimal investment, deferred taxes, capital gains taxes, martingale method, Clark's formula