Frank Thomas Seifried

According to our database1, Frank Thomas Seifried authored at least 10 papers between 2010 and 2017.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

Homepage:

On csauthors.net:

Bibliography

2017
A General Verification Result for Stochastic Impulse Control Problems.
SIAM J. Control and Optimization, 2017

Optimal consumption and investment with Epstein-Zin recursive utility.
Finance and Stochastics, 2017

Hedging with small uncertainty aversion.
Finance and Stochastics, 2017

Stochastic impulse control with regime-switching dynamics.
European Journal of Operational Research, 2017

2015
Robust worst-case optimal investment.
OR Spectrum, 2015

2014
Stochastic differential utility as the continuous-time limit of recursive utility.
J. Economic Theory, 2014

2013
Consumption-portfolio optimization with recursive utility in incomplete markets.
Finance and Stochastics, 2013

2010
Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach.
Math. Oper. Res., 2010

Optimal investment with deferred capital gains taxes - A simple martingale method approach.
Math. Meth. of OR, 2010

Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
Finance and Stochastics, 2010


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