Holger Kraft

According to our database1, Holger Kraft authored at least 10 papers between 2002 and 2017.

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

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

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

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

2013
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

2011
Optimal Housing, Consumption, and Investment Decisions over the Life Cycle.
Management Science, 2011

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

2006
Portfolio problems stopping at first hitting time with application to default risk.
Math. Meth. of OR, 2006

2003
Elasticity approach to portfolio optimization.
Math. Meth. of OR, 2003

2002
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates.
SIAM J. Control and Optimization, 2002


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