Frank Thomas Seifried

Publication Activity (10 Years)

Years Active: 2010-2022
Publications (10 Years): 7

Top Topics

Expected Utility

Portfolio Optimization

Utility Function

Top Venues

Finance Stochastics

SIAM J. Control. Optim.

Ann. Oper. Res.

Publications

Erhan Bayraktar, Christoph Belak, Sören Christensen, Frank Thomas Seifried
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit. SIAM J. Control. Optim. 60 (5) (2022)
Sebastian Geissel, Holger Graf, Julia Herbinger, Frank Thomas Seifried
Portfolio optimization with optimal expected utility risk measures. Ann. Oper. Res. 309 (1) (2022)
Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried
Hedging with small uncertainty aversion. Finance Stochastics 21 (1) (2017)
Holger Kraft, Thomas Seiferling, Frank Thomas Seifried
Optimal consumption and investment with Epstein-Zin recursive utility. Finance Stochastics 21 (1) (2017)
Christoph Belak, Sören Christensen, Frank Thomas Seifried
A General Verification Result for Stochastic Impulse Control Problems. SIAM J. Control. Optim. 55 (2) (2017)
Ralf Korn, Yaroslav Melnyk, Frank Thomas Seifried
Stochastic impulse control with regime-switching dynamics. Eur. J. Oper. Res. 260 (3) (2017)
Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried
Robust worst-case optimal investment. OR Spectr. 37 (3) (2015)
Holger Kraft, Frank Thomas Seifried
Stochastic differential utility as the continuous-time limit of recursive utility. J. Econ. Theory 151 (2014)
Holger Kraft, Frank Thomas Seifried, Mogens Steffensen
Consumption-portfolio optimization with recursive utility in incomplete markets. Finance Stochastics 17 (1) (2013)
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) (2010)
Frank Thomas Seifried
Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach. Math. Oper. Res. 35 (3) (2010)
Frank Thomas Seifried
Optimal investment with deferred capital gains taxes - A simple martingale method approach. Math. Methods Oper. Res. 71 (1) (2010)