According to our database1, Holger Kraft authored at least 10 papers between 2002 and 2017.
Legend:Book In proceedings Article PhD thesis Other
Optimal consumption and investment with Epstein-Zin recursive utility.
Finance and Stochastics, 2017
Stochastic differential utility as the continuous-time limit of recursive utility.
J. Economic Theory, 2014
Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies.
Management Science, 2013
Consumption-portfolio optimization with recursive utility in incomplete markets.
Finance and Stochastics, 2013
A dynamic programming approach to constrained portfolios.
European Journal of Operational Research, 2013
Optimal Housing, Consumption, and Investment Decisions over the Life Cycle.
Management Science, 2011
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
Finance and Stochastics, 2010
Portfolio problems stopping at first hitting time with application to default risk.
Math. Meth. of OR, 2006
Elasticity approach to portfolio optimization.
Math. Meth. of OR, 2003
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates.
SIAM J. Control and Optimization, 2002