4 papers in the archive (2023–2025), average empirical rigor 3.6/10, average math complexity 8.1/10. Quadrant mix: Holy Grail ×1, Lab Rats ×3.
Works mostly in Stochastic Control & Optimal Stopping, Factor Investing & Asset Pricing, Commodities & Energy Markets, Volatility Modeling & Forecasting.
Frequent co-authors: Luca De Gennaro Aquino (2), Yevhen Havrylenko (2), Mogens Steffensen (2), Christian Laudagé (1), Florian Aichinger (1), Sebastian Merkel (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Due to major shifts in European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward. In this work we study the performance of two different factor models for the electricity spot price in three different
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an Itô diffusion process. Since risk attitudes at the end of the investment horizon are uncertain, terminal wealth is evaluated under a set of u
We study and solve the worst-case optimal portfolio problem as pioneered by Korn and Wilmott (2002) of an investor with logarithmic preferences facing the possibility of a market crash with stochastic market coefficients by enhancing the martingale approach developed by Seifried in 2010. With the he
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated, leads to dynamically inconsistent preferences. We address thi