Holger Kraft

According to our database, Holger Kraft authored at least 11 papers between 2002 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Pandemic portfolio choice.

Holger Kraft, Farina Weiss

Eur. J. Oper. Res., 2023

2017

Optimal consumption and investment with Epstein-Zin recursive utility.

Holger Kraft, Thomas Seiferling, Frank Thomas Seifried

Finance Stochastics, 2017

2014

Stochastic differential utility as the continuous-time limit of recursive utility.

Holger Kraft, Frank Thomas Seifried

J. Econ. Theory, 2014

2013

Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies.

Björn Bick, Holger Kraft, Claus Munk

Manag. Sci., 2013

Consumption-portfolio optimization with recursive utility in incomplete markets.

Holger Kraft, Frank Thomas Seifried, Mogens Steffensen

Finance Stochastics, 2013

A dynamic programming approach to constrained portfolios.

Holger Kraft, Mogens Steffensen

Eur. J. Oper. Res., 2013

2011

Optimal Housing, Consumption, and Investment Decisions over the Life Cycle.

Holger Kraft, Claus Munk

Manag. Sci., 2011

2010

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

Peter Diesinger, Holger Kraft, Frank Thomas Seifried

Finance Stochastics, 2010

2006

Portfolio problems stopping at first hitting time with application to default risk.

Holger Kraft, Mogens Steffensen

Math. Methods Oper. Res., 2006

2003

Elasticity approach to portfolio optimization.

Holger Kraft

Math. Methods Oper. Res., 2003

2002

A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates.

Ralf Korn, Holger Kraft

SIAM J. Control. Optim., 2002