Holger Kraft

Publication Activity (10 Years)

Years Active: 2002-2023
Publications (10 Years): 2

Top Topics

Portfolio Selection

Dynamic Programming

Constrained Problems

Artificial Societies

Top Venues

Finance Stochastics

Eur. J. Oper. Res.

J. Econ. Theory

Publications

Holger Kraft, Farina Weiss
Pandemic portfolio choice. Eur. J. Oper. Res. 305 (1) (2023)
Holger Kraft, Thomas Seiferling, Frank Thomas Seifried
Optimal consumption and investment with Epstein-Zin recursive utility. Finance Stochastics 21 (1) (2017)
Holger Kraft, Frank Thomas Seifried
Stochastic differential utility as the continuous-time limit of recursive utility. J. Econ. Theory 151 (2014)
Holger Kraft, Mogens Steffensen
A dynamic programming approach to constrained portfolios. Eur. J. Oper. Res. 229 (2) (2013)
Holger Kraft, Frank Thomas Seifried, Mogens Steffensen
Consumption-portfolio optimization with recursive utility in incomplete markets. Finance Stochastics 17 (1) (2013)
Björn Bick, Holger Kraft, Claus Munk
Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies. Manag. Sci. 59 (2) (2013)
Holger Kraft, Claus Munk
Optimal Housing, Consumption, and Investment Decisions over the Life Cycle. Manag. Sci. 57 (6) (2011)
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)
Holger Kraft, Mogens Steffensen
Portfolio problems stopping at first hitting time with application to default risk. Math. Methods Oper. Res. 63 (1) (2006)
Holger Kraft
Elasticity approach to portfolio optimization. Math. Methods Oper. Res. 58 (1) (2003)
Ralf Korn, Holger Kraft
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates. SIAM J. Control. Optim. 40 (4) (2002)