Publications

Preprints

• Utility maximization in a factor model with constant and proportional costs (with Sören Christensen), 2018.
• Finite-horizon optimal investment with transaction costs: Construction of the optimal strategies (with Jörn Sass), 2018.
• Pricing contingent claims under jump uncertainty (with Olaf Menkens), 2016.

 

Publications

• Backward nonlinear expectation equations (with Thomas Seiferling and Frank T. Seifried), Mathematics and Financial Economics, Vol. 12, No. 1, pp. 111-134, 2018.
• A general verification result for stochastic impulse control problems (with Sören Christensen and Frank T. Seifried), SIAM Journal on Control and Optimization, Vol. 55, No. 2, pp. 627-649, 2017.
• Worst-case portfolio optimization in a market with bubbles (with Sören Christensen and Olaf Menkens), International Journal of Theoretical and Applied Finance, Vol. 19, No. 2, 1650009 (36 pages), 2016.
• Awarded with the Joseph A. Schumpeter Prize 2017 of the Department IV, University of Trier, and Deutsche Bundesbank, Hauptverwaltung in Rheinland-Pfalz und dem Saarland.
• On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs (with Olaf Menkens and Jörn Sass), SIAM Journal on Control and Optimization, Vol. 53, No. 5, pp. 2878-2897, 2015.
• Worst-case portfolio optimization with proportional transaction costs (with Olaf Menkens and Jörn Sass), Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 87, No. 4, pp. 623-663, 2015.
• Worst-case optimal investment with a random number of crashes (with Sören Christensen and Olaf Menkens), Statistics & Probability Letters, Vol. 90, pp. 140-148, 2014.

 

PhD Thesis

• Worst-case portfolio optimization: Transaction costs and bubbles, University of Kaiserslautern, 2015.
  • Awarded with the Gauss-Nachwuchspreis of the Deutsche Gesellschaft für Versicherungs- und Finanzmathematik (DGVFM).
  • Awarded with the Prize for Outstanding Scientific Achievements of the Freundeskreis der Technischen Universität Kaiserslautern.

 

Diploma Thesis

• Worst-case portfolio optimization under proportional transaction costs, University of Kaiserslautern, 2011.
  • Awarded with the Landesbank Baden-Württemberg Auszeichnung für herausragende Leistung im Rahmen der Abschlussarbeit.