Zobrazeno 1 - 10
of 89
pro vyhledávání: '"Holger Kraft"'
Autor:
Farina Weiss, Holger Kraft
Publikováno v:
European Journal of Operational Research. 305:451-462
COVID-19 has taught us that a pandemic can significantly increase biometric risk and at the same time trigger crashes of the stock market. Taking these potential co-movements of financial and non-financial risks into account, we study the portfolio p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d28237088b78cad8ed4f6b2067d4b6bf
https://doi.org/10.1016/j.ejor.2022.05.035
https://doi.org/10.1016/j.ejor.2022.05.035
Publikováno v:
Journal of Economic Behavior & Organization. 197:279-300
We study a two-agent equilibrium model with two goods where we interpret the agents as countries. We analyze the effect of an endogenous habit specification where each country benchmarks its consumption decision against the decision of the other coun
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b586f81413f26267e3d650ceec88aa61
https://doi.org/10.1016/j.jebo.2022.03.005
https://doi.org/10.1016/j.jebo.2022.03.005
Publikováno v:
Scandinavian Actuarial Journal. 2022:307-327
We study canonical consumption-savings problems of an individual involving uninsurable biometric risk. These problems are important in many applications from insurance economics and actuarial science. Since biometric risk is uninsurable, closed-form
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1301effbbf1c723277471d29f876706b
https://doi.org/10.1080/03461238.2021.1966831
https://doi.org/10.1080/03461238.2021.1966831
Publikováno v:
Journal of Banking & Finance. 138
This paper studies finite-horizon consumption-portfolio decisions with recursive utility. We show that the parameter seemingly representing the individual’s bequest preference in traditional recursive utility formulations is quantitatively and qual
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9a25e29d4ba9af50c8f605260dc6ae47
https://research.cbs.dk/en/publications/1cf87537-2443-4637-9d0d-53e686362838
https://research.cbs.dk/en/publications/1cf87537-2443-4637-9d0d-53e686362838
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::55115c71cb0c453fc67f0782c1b2da5d
https://doi.org/10.2139/ssrn.4177307
https://doi.org/10.2139/ssrn.4177307
Publikováno v:
Journal of Banking & Finance. 100:1-27
We show that the net corporate payout yield predicts both the stock market index and house prices and that the log home rent-price ratio predicts both house prices and labor income growth. We incorporate the predictability in a rich life-cycle model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9a01bf8bcc3b350ecc5ddb340ecbb614
https://research.cbs.dk/en/publications/971bf7fe-4c56-4b00-9fe3-49ad9078cef9
https://research.cbs.dk/en/publications/971bf7fe-4c56-4b00-9fe3-49ad9078cef9
Autor:
Farina Weiss, Holger Kraft
Publikováno v:
Journal of Economic Dynamics and Control. 98:40-59
This paper studies a consumption-portfolio problem where money enters the agent’s utility function. We solve the corresponding Hamilton–Jacobi–Bellman equation and provide closed-form solutions for the optimal consumption and portfolio strategy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::194b5dd679b082946a8881075060351a
https://doi.org/10.1016/j.jedc.2018.09.006
https://doi.org/10.1016/j.jedc.2018.09.006
Asset pricing and climate policy are analyzed in a global economy where consumption goods are produced by both a green and a carbon-intensive sector. We allow for two types of damages from global warming. Given that the economy is initially heavily d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::522a21dddfbd2e37f8325fd081bffb72
https://ora.ox.ac.uk/objects/uuid:de68047f-fae0-46b5-9eba-367fd6cca77f
https://ora.ox.ac.uk/objects/uuid:de68047f-fae0-46b5-9eba-367fd6cca77f
Publikováno v:
SSRN Electronic Journal.
This paper studies a household’s optimal demand for a reverse mortgage. These contracts allow homeowners to tap their home equity to finance consumption needs. In stylized frameworks, we show that the decision to enter a reverse mortgage is mainly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::21b0779510ac424b8d03f6849763face
https://doi.org/10.2139/ssrn.3681834
https://doi.org/10.2139/ssrn.3681834
Publikováno v:
SSRN Electronic Journal.
Asset pricing and climate policy are analyzed in a global economy where consumption goods are produced by both a green and a carbon-intensive sector. We allow for endogenous growth and three types of damages from global warming. It is shown that, ini
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a3b6750b59ed74b4c67f97fe3b6204da
https://doi.org/10.2139/ssrn.3528239
https://doi.org/10.2139/ssrn.3528239