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Frank Thomas Seifried

Affiliations:
  • University of Trier


According to our database1, Frank Thomas Seifried authored at least 12 papers between 2010 and 2022.

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

Timeline

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Links

Online presence:

On csauthors.net:

Bibliography

2022
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit.
[BibTeX]
[DOI]
Erhan Bayraktar
,
Christoph Belak
,
Sören Christensen
,
Frank Thomas Seifried
SIAM J. Control. Optim., 2022

Portfolio optimization with optimal expected utility risk measures.
[BibTeX]
[DOI]
Sebastian Geissel
,
Holger Graf
,
Julia Herbinger
,
Frank Thomas Seifried
Ann. Oper. Res., 2022

2017
A General Verification Result for Stochastic Impulse Control Problems.
[BibTeX]
[DOI]
Christoph Belak
,
Sören Christensen
,
Frank Thomas Seifried
SIAM J. Control. Optim., 2017

Optimal consumption and investment with Epstein-Zin recursive utility.
[BibTeX]
[DOI]
Holger Kraft
,
Thomas Seiferling
,
Frank Thomas Seifried
Finance Stochastics, 2017

Hedging with small uncertainty aversion.
[BibTeX]
[DOI]
Sebastian Herrmann
,
Johannes Muhle-Karbe
,
Frank Thomas Seifried
Finance Stochastics, 2017

Stochastic impulse control with regime-switching dynamics.
[BibTeX]
[DOI]
Ralf Korn
,
Yaroslav Melnyk
,
Frank Thomas Seifried
Eur. J. Oper. Res., 2017

2015
Robust worst-case optimal investment.
[BibTeX]
[DOI]
Sascha Desmettre
,
Ralf Korn
,
Peter Ruckdeschel
,
Frank Thomas Seifried
OR Spectr., 2015

2014
Stochastic differential utility as the continuous-time limit of recursive utility.
[BibTeX]
[DOI]
Holger Kraft
,
Frank Thomas Seifried
J. Econ. Theory, 2014

2013
Consumption-portfolio optimization with recursive utility in incomplete markets.
[BibTeX]
[DOI]
Holger Kraft
,
Frank Thomas Seifried
,
Mogens Steffensen
Finance Stochastics, 2013

2010
Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach.
[BibTeX]
[DOI]
Frank Thomas Seifried
Math. Oper. Res., 2010

Optimal investment with deferred capital gains taxes - A simple martingale method approach.
[BibTeX]
[DOI]
Frank Thomas Seifried
Math. Methods Oper. Res., 2010

Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
[BibTeX]
[DOI]
Peter Diesinger
,
Holger Kraft
,
Frank Thomas Seifried
Finance Stochastics, 2010


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