Prof. Dr. Holger Kraft

SAFE Publications

Author/s	Title	Program Area	Published
Nicole Branger, Holger Kraft, Christoph Meinerding	The Dynamics of Crises and the Equity Premium Review of Financial Studies	Systemic Risk Lab, Financial Markets	2016
Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried	When Do Jumps Matter for Portfolio Optimization? Quantitative Finance	Financial Markets	2016
Michael Brennan, Holger Kraft	Leaning Against the Wind: Debt Financing in the Face of Adversity Financial Management	Financial Markets	2018
Holger Kraft, Claus Munk	Predictors and Portfolios Over the Life Cycle Journal of Banking and Finance	Household Finance	2019
Holger Kraft, Eduardo S. Schwartz	Growth Options and Firm Valuation European Financial Management	Financial Markets	2018
Holger Kraft	Consumption-Portfolio Choice with Preferences for Cash Journal of Economic Dynamics and Control	Household Finance	2019
Holger Kraft, Claus Munk, Sebastian Wagner	Housing Habits and Their Implications for Life-Cycle Consumption and Investment Review of Finance	Household Finance	2018
Holger Kraft, Claus Munk, Frank Thomas Seifried, Sebastian Wagner	Consumption Habits and Humps Economic Theory	Household Finance	2017
Nicole Branger, Holger Kraft, Christoph Meinerding	Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization Journal of Economic Dynamics and Control	Systemic Risk Lab, Financial Markets, Transparency Lab	2014
Christoph Hambel, Holger Kraft, Lorenz Schendel, Mogens Steffensen	Life Insurance Demand under Health Shock Risk Journal of Risk and Insurance	Household Finance	2017
Holger Kraft, Thomas Seiferling, Frank Thomas Seifried	Optimal Consumption and Investment with Epstein-Zin Recursive Utility Finance and Stochastics	Financial Markets	2017
Holger Kraft, Frank Thomas Seifried	Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility Journal of Economic Theory	Financial Markets	2014

SAFE Working Papers

No.	Author/s	Title	Program Area
15	Holger Kraft, Claus Munk, Frank Thomas Seifried, Sebastian Wagner	Consumption Habits and Humps	Household Finance
26	Michael Brennan, Holger Kraft	Financing Asset Growth	Financial Markets
92	Christoph Hambel, Holger Kraft, Eduardo S. Schwartz	Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change	Systemic Risk Lab, Macro and Finance
119	Michael Brennan, Holger Kraft	Leaning Against the Wind: Debt Financing in the Face of Adversity	Financial Markets
16	Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried	When Do Jumps Matter for Portfolio Optimization?	Financial Markets
139	Holger Kraft, Claus Munk	Predictors and Portfolios Over the Life Cycle	Household Finance
181	Holger Kraft	Consumption-Portfolio Choice with Preferences for Cash	Household Finance
85	Holger Kraft, Claus Munk, Sebastian Wagner	Housing Habits and Their Implications for Life-Cycle Consumption and Investment	Household Finance
28	Nicole Branger, Holger Kraft, Christoph Meinerding	Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization	Transparency Lab, Systemic Risk Lab, Financial Markets
11	Nicole Branger, Holger Kraft, Christoph Meinerding	The Dynamics of Crises and the Equity Premium	Systemic Risk Lab, Financial Markets
34	Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag	Asset Pricing Under Uncertainty About Shock Propagation	Financial Markets
40	Christoph Hambel, Holger Kraft, Lorenz Schendel, Mogens Steffensen	Life Insurance Demand under Health Shock Risk	Household Finance
52	Holger Kraft, Thomas Seiferling, Frank Thomas Seifried	Optimal Consumption and Investment with Epstein-Zin Recursive Utility	Financial Markets
17	Holger Kraft, Frank Thomas Seifried	Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility	Financial Markets
53	Holger Kraft, Claus Munk, Frank Thomas Seifried, Mogens Steffensen	Consumption and Wage Humps in a Life-Cycle Model with Education	Household Finance
25	Holger Kraft, Alexander Schmidt	Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?	Systemic Risk Lab, Financial Intermediation
6	Holger Kraft, Eduardo S. Schwartz	Growth Options and Firm Valuation	Financial Markets, Transparency Lab

SAFE Research Projects

Researcher	Project	Funded by	Status	Project Duration	Publication Count
Christoph Hambel, Holger Kraft, André Meyer-Wehmann	Consumption-Portfolio-Housing Choice with Reverse Mortgages	LOEWE	Ongoing	2019	0
Holger Kraft, Claus Munk, Frank Thomas Seifried, Sebastian Wagner	Numerical Methods in Life-Cycle Portfolio Choice with Labor Income, Housing and Biometric Risk	LOEWE	Completed	2013	1
Christoph Hambel, Holger Kraft, Claus Munk, Sebastian Wagner	Household Decisions when Stocks, Labor Income and House Prices Share a Common Trend	LOEWE	Completed	2014	1
Christoph Hambel, Holger Kraft, Claus Munk, Peter Schwamborn, Sebastian Wagner	How Does Lifelong Learning Influence Consumption Portfolio Choice?	LOEWE	Completed	2014	1
Christoph Hambel, Holger Kraft, Frank Thomas Seifried, Sebastian Wagner	The Continuous-Time Limit of Recursive Utility	LOEWE	Completed	2014	1
Christoph Hambel, Holger Kraft, Mogens Steffensen, Sebastian Wagner	Consumption-portfolio Choice with Critical Illness	LOEWE	Completed	2014	1
Holger Kraft	Bequeathing Illiquid Assets across Generations in an Aging Society	LOEWE	Completed	2016	1
Matteo Bagnara, Nicole Branger, Mariano Massimiliano Croce, Robert F. Dittmar, Holger Kraft, Satchit Sagade, Christian Schlag, Ivan Shaliastovich, Julian Thimme, Rüdiger Weber	Risk Pricing & Trading	SAFE	Ongoing	2020	0
Holger Kraft	The Sovereign-Bank Loop: Contagion Between Sovereign and Bank Credit Markets	LOEWE	Completed	2014	1
Holger Kraft, Alexander Schmidt	A New Approach to Measuring Systemic Risk: Option-implied Tail Risk Dependencies in the Financial Sector	LOEWE	Completed	2012	1
Helmut Gründl, Martin Götz, Holger Kraft, Raimond Maurer	Demographic Changes, Optimal Design of Life Insurance Contracts and Household Welfare	LOEWE	Ongoing	2016	1
Christoph Hambel, Holger Kraft	Non-Financial Life-Cycle Decisions and their Impact on Consumption-Portfolio Choice with Unspanned Labor Income	DFG	Ongoing	2016	1
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag	General Equilibrium with Contagion Effects	LOEWE	Completed	2013	1
Holger Kraft, Christoph Kühn, André Meyer-Wehmann	Get ahead of the Joneses: Social Status	LOEWE	Completed	2017	1

Back