Publications and Preprints

• Robust Preferences and Robust Portfolio Choice
  (with H. Föllmer and A. Schied)
  Handbook of Numerical Analysis, XV, Bensoussan & Zhang (Editors),
  Mathematical Modeling and Numerical Methods in Finance, 29-89, 2008
  
  
• Importance Sampling Methods for Estimating Convex Risk Measures
  (with J. Dunkel)
  Submitted.
  
  
• Utility Maximization Under a Shortfall Risk Constraint (with A. Gundel)
  To appear in Journal of Mathematical Economics
  
  
• Measuring the Risk of Extreme Events (with K. Giesecke and T. Schmidt)
  Journal of Investment Management, 6(4), 2008
  
  
• An Approximation for Credit Portfolio Losses (with R. Frey and M. Popp)
  The Journal of Credit Risk, 4(1), 3-20, 2008
  
  
• Robust Utility Maximization with Limited Downside Risk in Incomplete Markets
  (with A. Gundel)
  Stochastic Processes and their Applications, 117(11), 1663-1688, 2007
  
  
• Efficient Monte Carlo Methods for Convex Risk Measures (with J. Dunkel)
  Proceedings of the 2007 Winter Simulation Conference, 958-966, 2007
  
  
• Distribution-Invariant Risk Measures, Entropy, and Large Deviations
  Journal of Applied Probability, 44, 16-40, 2007
  
  
• A Continuous Time Limit of an Evolutionary Stock Market (with B. Buchmann)
  International Journal of Theoretical and Applied Finance, 10(7), 1229-1253, 2007
  
  
• Credit Contagion and Aggregate Losses (with K. Giesecke)
  Journal of Economic Dynamics and Control, 30(5), 741-767, 2006
  
  
• Distribution-Invariant Risk Measures, Information, and Dynamic Consistency
  Mathematical Finance, 16(2), 419-442, 2006
  
  
• Alternativen zu Value at Risk (with T. Schmidt)
  Zeitschrift für die gesamte Versicherungswissenschaft, 4, 669-690, 2005
  
  
• Cyclical Correlations, Credit Contagion, and Portfolio Losses
  (with K. Giesecke)
  Journal of Banking and Finance, 28(12), 3009-3036, 2004