Publications
- Dynamics of stock market developments, financial behavior, and emotions
(with H. Cordes and S. Nolte)
Journal of Banking & Finance, 154, 2023
- Decision weights for experimental asset prices based on visual salience
(with D. Bose, C. Camerer, H. Cordes and S. Nolte)
To appear in: Review of Financial Studies
- The information content of ITM-Options for risk-neutral skewness and informed trading
(with H. Mohrschladt)
To appear in: Journal of Economic Dynamics and Control
- Idiosyncratic volatility, option-based measures of informed trading, and investor attention
(with H. Mohrschladt)
Review of Derivatives Research, 24(3), 197-220, 2021
- A toolkit for robust risk assessment using F-divergences
(with T. Kruse and N. Schweizer)
Management Science, 67(10), 6529-6552, 2021
- The joint impact of F-divergences and reference models on the contents of uncertainty sets
(with T. Kruse and N. Schweizer)
Operations Research, 67(2), 428-435, 2019
- How price path characteristics shape investment behavior
(with S. Nolte)
Journal of Economic Behavior and Organization, 154, 33-59, 2018
- Don’t lapse into temptation: A behavioral explanation for policy surrender
(with S. Nolte)
Journal of Banking and Finance, 79, 12-27, 2017
- Minimum return guarantees, investment caps, and investment flexibility
(with A. Mahayni)
Review of Derivatives Research, 19, 85-111, 2016
- Robust Measurement of Heavy-Tailed Risks: Theory and Implementation
(with N. Schweizer)
Journal of Economic Dynamics and Control, 61, 183-203, 2015
- Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risks
(with S. Ankirchner and N. Schweizer)
Journal of Economic Dynamics and Control, 41, 93-109, 2014
- Variable annuities and the option to seek risk: Why should you diversify?
(with A. Mahayni)
Journal of Banking and Finance, 36, 2417-2428, 2012
- Pricing and upper price bounds of relax certificates
(with N. Branger and A. Mahayni)
Review of Managerial Science, 5, 309-336, 2011
- On the Optimal Design of Insurance Contracts with Guarantees
(with N. Branger and A. Mahayni)
Insurance: Mathematics and Economics, 4, 485-492, 2010
Working Papers
- Advancing Loss Reserving: A Hybrid Neural Network Approach for Individual Claim Development Prediction
(with B. Schwab)
Working Paper, 2024
- Positivity and Nature: How Images Increase Investment
(with K. van Boxel, P. Decke, S. Nolte)
Working Paper, 2021
- Intrinsic Preferences for Skewed Information Revelation: Experimental Evidence on Information Structures and Compound Lotteries
(with E. Diecidue, T. Langer and S. Nolte)
Working Paper, 2021
- The visual shape score: On its predictability in the lab, the aggregated stock market, and the cross-section of stock returns
(with H. Cordes, H. Mohrschladt and S. Nolte)
Working Paper, 2021