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When Do Jumps Matter for Portfolio Optimization? 

Ascheberg, Marius; Branger, Nicole; Kraft, Holger (2015-11-25)
We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a ...
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Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization 

Branger, Nicole; Kraft, Holger; Meinerding, Christoph (2013-04-18)
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...
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Life Insurance Demand under Health Shock Risk 

Kraft, Holger; Schendel, Lorenz S.; Steffensen, Mogens (2015-06-03)
This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy long-term ...
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Predictors and Portfolios Over the Life Cycle 

Kraft, Holger; Munk, Claus; Weiss, Farina (2018-06-08)
In a calibrated consumption-portfolio model with stock, housing, and labor income predictability, we evaluate the welfare effects of predictability on life-cycle consumption-portfolio choice. We compare skilled investors ...
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Consumption-Portfolio Choice with Preferences for Cash 

Kraft, Holger; Weiss, Farina (2018-07-12)
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 ...
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When Should Retirees Tap Their Home Equity? 

Hambel, Christoph; Kraft, Holger; Meyer-Wehmann, André (2020-10-28)
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 ...
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Author
Kraft, Holger (6)
Branger, Nicole (2)Weiss, Farina (2)... View MoreResearch AreaHousehold Finance (4)Financial Markets (2)Systemic Risk Lab (1)... View MoreJEL Classification
G11 (6)
D14 (3)D91 (2)... View MoreTopicConsumption (6)
Monetary Policy (6)
Saving and Borrowing (4)... View MoreKeywordasset allocation (1)biometric risks (1)consumption-portfolio choice (1)... View MoreDate Issued2015 (2)2018 (2)2013 (1)Has File(s)Yes (6)
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Leibniz Gemeinschaft
About  Data Protection