The Slow Death of Capital Protection (with Marc Oliver Rieger), Journal of Risk and Financial Management (2021).
Limited Joint Liability in Structured Eurobonds: Pricing the Political Costs (with Marc-Patrick Adolph), Journal of International Money and Finance (2021).
Reforming the European Stability Mechanism (with Bernhard Herz), JCMS: Journal of Common Market Studies (2020).
The Asset Allocation of Defined Benefit Pension Plans: The Role of Sponsor Contributions (with Patrick Ley, Marc Oliver Rieger, Alexander F. Wagner), Journal of Asset Management (2022).
Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model (with Marc Oliver Rieger), The Journal of Derivatives (2021).
Volatility Dependent Structured Products (with Marc Oliver Rieger and Walter Farkas), The Journal of Investing (2021).
Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, Quantitative Finance (2020).
The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model (with Hamza Bennani and Jan P. Burgard), Macroeconomic Dynamics(2022).
Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US (with Felix Haase), International Journal of Forecasting (2022).
Financial Stability and the Fed: Evidence from Congressional Hearings (with Arina Wischnewsky and David-Jan Jansen), Economic Inquiry (2021).
Shadow Banks and the Risk‐Taking Channel of Monetary Policy Transmission in the Euro Area (with Arina Wischnewsky), German Economic Review (2020).
An Unconventional Approach to Evaluate the Bank of England’s Asset Purchase Program, Open Economies Review (2020).
State-Dependent Transmission of Monetary Policy in the Euro Area (mit Jan Pablo Burgard und Matthias Nöckel), Journal of Money, Credit and Banking (2019).
Marc Oliver Rieger
Sign Matters: Stock-Movement-Based Trading Decisions of Individual Investors (with Ji Cao, Stefan Muhl, and Hung-Ling Chen), Journal of Banking & Finance (2022+).
The Asset Allocation of Defined Benefit Pension Plans: The Role of Sponsor Contributions (with Artem Dyachenko, Patrick Ley, Alexander F. Wagner), Journal of Asset Management (2022).
Trend Following or Reversal: Does Culture Affect Predictions and Trading Behavior? (with Mei Wang, Thuy C. Phan, and Yujing Gong), Global Finance Journal (2022).
Uncertainty Avoidance, Loss Aversion and Stock Market Participation, Global Finance Journal (2022).
Survey Evidence on Core Factors of Behavioral Biases (with Mei Wang, Po-Kai Huang, and Yuan-Lin Hsu), Journal of Behavioral and Experimental Economics (2022).
Culture and Institutions: Long-Lasting Effects of Communism on Risk and Time Preferences of Individuals in Europe (with Johannes Schaewitz, Mei Wang), Journal of Economic Behavior & Organization (2022).
Die Entwicklung von Behavioral Finance und die Spezielle Rolle der Deutschen Wirtschaftswissenschaften, Ideengeschichte der BWL II (2022).
Pre-Decisional Information Acquisition: Why do we pay too much for information? (with Mei Wang and Daniel Hausmann), Journal of Economic Psychology (2021).
The Slow Death of Capital Protection (with Christian Bauer), Journal of Risk and Financial Management (2021).
Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model (with Artem Dyachenko), The Journal of Derivatives (2021).
Volatility Dependent Structured Products (with Artem Dyachenko and Walter Farkas), The Journal of Investing (2021).
Nudging Against Panic Selling: Making Use of the IKEA Effect (with Amin Z. Ashtiani and David Stutz), Journal of Behavioral and Experimental Finance (2021).
Taking More Risk Tomorrow: Time Horizons and Investment Decisions (with Trang M. Nguyen, Benjamin Schnur, and Mei Wang), Applied Economics Letters (2021).
Pre-Decisional Information Acquisition: Why Do We Pay Too Much for Information? Brief Report (with Mei Wang and Daniel Hausmann), Journal of Economic Psychology (2021).
Universal Time Preference (with Mei Wang, and Thorsten Hens),PloS one (2021).
Diversification with Options and Structured Products (with Shuonan Yuan), Review of Derivatives Research (2021).
Fund Size and the Stability of Portfolio Risk (with Martin Ewen), Journal of Risk (2020).
How to Measure Financial Literacy?, Journal of Risk and Financial Management(2020).
Happy Savers and Happy Spenders: An Experimental Study Comparing US Americans and Germans (with Amin Zokaei Ashtiani and Thomas Dudek), Journal of Behavioral and Experimental Economics (2020).
Taking More Risk Tomorrow: Time Horizons and Investment Decisions (with Trang Minh Nguyen, Benjamin Schnur and Mei Wang), Applied Economics Letters (2020).
Maxing Out: Replicating the Puzzling Influence of Past Maximum Returns on Future Asset Prices in a Cross-Country Analysis (with Shuonan Yuan and Nilüfer Caliskan), Management Review Quarterly (2019).
Non-Cooperative Games With Prospect Theory Players and Dominated Strategies (with Lars Peter Metzger), Games and Economic Behavior (2019).
Hedging with Regret (with Olaf Korn), Journal of Behavioral and Experimental Finance (2019).
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit (with Erhan Bayraktar, Christoph Belak, and Sören Christensen), SIAM Journal on Control and Optimization (2022).
Optimal Investment for Retail Investors (with Christoph Belak and Lukas Mich), Mathematical Finance (2022).
Portfolio Optimization with Optimal Expected Utility Risk Measures (with Holger Fink and Sebastian Geissel), Annals of Operations Research (2022).
Endogenous Habits and Equilibrium Asset Prices (with Holger Kraft and André Meyer-Wehmann), Journal of Economic Behavior & Organization (2022).
Branching Diffusions with Jumps and Valuation with Systemic Counterparties (with Christoph Belak and Daniel Hoffmann), Journal of Computational Finance (2021).
Continuous-Time Mean Field Games with Finite State Space and Common Noise (with Christoph Belak and Daniel Hoffmann), Applied Mathematics and Optimization (2021).
The Affine Rational Potential Model (with The Anh Nguyen), to appear in International Journal of Theoretical and Applied Finance (2021).
Dynamic Asset Allocation with Relative Wealth Concerns (with André Meyer-Wehmann and Holger Kraft), Journal of Economic Dynamics and Control (2020).
Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs (with Johannes Muhle-Karbe and Yaroslav Melynk), Mathematical Finance(2020).
Implied Risk Aversion: An Alternative Rating System for Retail Structured Products (with Holger Fink, Sebastian Geissel and Jörn Saß), Review of Derivatives Research (2019).
Currency Returns and FX Dealer Balance Sheets (with Stefan Reitz), Journal of International Economics (2021).