IDEAS home Printed from https://ideas.repec.org/f/pka800.html
   My authors  Follow this author

Stefan Kassberger

Personal Details

First Name:Stefan
Middle Name:
Last Name:Kassberger
Suffix:
RePEc Short-ID:pka800
[This author has chosen not to make the email address public]
http://fs.de/kassberger

Affiliation

Frankfurt School of Finance and Management

Frankfurt, Germany
http://www.frankfurt-school.de/
RePEc:edi:hfbfide (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Michael G. Jacobides & Sidney G. Winter & Stefan M. Kassberger, 2010. "The Dynamics of Wealth, Profit and Sustainable Advantage," LEM Papers Series 2010/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

Articles

  1. Liebmann, Thomas & Kassberger, Stefan & Hellmich, Martin, 2017. "Sharing and growth in general random multiplicative environments," European Journal of Operational Research, Elsevier, vol. 258(1), pages 193-206.
  2. Martin Hellmich & Stefan Kassberger & Wolfgang M. Schmidt, 2013. "Credit Modeling Under Jump Diffusions With Exponentially Distributed Jumps — Stable Calibration, Dynamics And Gap Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-26.
  3. Kassberger, Stefan & Liebmann, Thomas, 2012. "When are path-dependent payoffs suboptimal?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1304-1310.
  4. Michael G. Jacobides & Sidney G. Winter & Stefan M. Kassberger, 2012. "The dynamics of wealth, profit, and sustainable advantage," Strategic Management Journal, Wiley Blackwell, vol. 33(12), pages 1384-1410, December.
  5. Martin Hellmich & Stefan Kassberger, 2011. "Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework," Quantitative Finance, Taylor & Francis Journals, vol. 11(10), pages 1503-1516.
  6. Stefan Kassberger & Thomas Liebmann, 2011. "Minimal q-entropy martingale measures for exponential time-changed Lévy processes," Finance and Stochastics, Springer, vol. 15(1), pages 117-140, January.
  7. Kassberger, Stefan & Kiesel, Rüdiger & Liebmann, Thomas, 2008. "Fair valuation of insurance contracts under Lévy process specifications," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 419-433, February.
  8. Stefan Kassberger & Rüdiger Kiesel, 2006. "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 472-491, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Michael G. Jacobides & Sidney G. Winter & Stefan M. Kassberger, 2010. "The Dynamics of Wealth, Profit and Sustainable Advantage," LEM Papers Series 2010/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

    Cited by:

    1. Jinhwan Kim & Hyeob Kim & HyukJun Kwon, 2019. "Corporate Social Responsibility Activity Combinations for Sustainability: A Fuzzy Set Analysis of Korean Firms," Sustainability, MDPI, vol. 11(24), pages 1-20, December.
    2. Nicola Cetorelli & Michael G. Jacobides & Samuel Stern, 2021. "Mapping a Sector’s Scope Transformation and the Value of Following the Evolving Core," Staff Reports 963, Federal Reserve Bank of New York.
    3. Phebo D. Wibbens & Nicolaj Siggelkow, 2020. "Introducing LIVA to measure long‐term firm performance," Strategic Management Journal, Wiley Blackwell, vol. 41(5), pages 867-890, May.
    4. Belussi, Fiorenza & Orsi, Luigi & Savarese, Maria, 2019. "Mapping Business Model Research: A Document Bibliometric Analysis," Scandinavian Journal of Management, Elsevier, vol. 35(3).
    5. Alexandre Garel & Arthur Petit-Romec, 2021. "Engaging Employees for the Long Run: Long-Term Investors and Employee-Related CSR," Journal of Business Ethics, Springer, vol. 174(1), pages 35-63, November.
    6. Hong, Paul & Jagani, Sandeep & Kim, Jinhwan & Youn, Sun Hee, 2019. "Managing sustainability orientation: An empirical investigation of manufacturing firms," International Journal of Production Economics, Elsevier, vol. 211(C), pages 71-81.
    7. Björn Michaelis & Shalini Rogbeer & Lars Schweizer & Zafer Özleblebici, 2021. "Clarifying the boundary conditions of value creation within dynamic capabilities framework: a grafting approach," Review of Managerial Science, Springer, vol. 15(6), pages 1797-1820, August.
    8. Phebo D. Wibbens, 2021. "The role of competitive amplification in explaining sustained performance heterogeneity," Strategic Management Journal, Wiley Blackwell, vol. 42(10), pages 1769-1792, October.

Articles

  1. Liebmann, Thomas & Kassberger, Stefan & Hellmich, Martin, 2017. "Sharing and growth in general random multiplicative environments," European Journal of Operational Research, Elsevier, vol. 258(1), pages 193-206.

    Cited by:

    1. Stojkoski, Viktor & Karbevski, Marko & Utkovski, Zoran & Basnarkov, Lasko & Kocarev, Ljupco, 2021. "Evolution of cooperation in networked heterogeneous fluctuating environments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).

  2. Martin Hellmich & Stefan Kassberger & Wolfgang M. Schmidt, 2013. "Credit Modeling Under Jump Diffusions With Exponentially Distributed Jumps — Stable Calibration, Dynamics And Gap Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-26.

    Cited by:

    1. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
    2. Leippold, Markus & Vasiljević, Nikola, 2017. "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.

  3. Kassberger, Stefan & Liebmann, Thomas, 2012. "When are path-dependent payoffs suboptimal?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1304-1310.

    Cited by:

    1. Fajardo, José & Corcuera, José Manuel & Menouken Pamen, Olivier, 2016. "On the optimal investment," MPRA Paper 71901, University Library of Munich, Germany.
    2. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.

  4. Michael G. Jacobides & Sidney G. Winter & Stefan M. Kassberger, 2012. "The dynamics of wealth, profit, and sustainable advantage," Strategic Management Journal, Wiley Blackwell, vol. 33(12), pages 1384-1410, December.
    See citations under working paper version above.
  5. Martin Hellmich & Stefan Kassberger, 2011. "Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework," Quantitative Finance, Taylor & Francis Journals, vol. 11(10), pages 1503-1516.

    Cited by:

    1. Leovardo Mata Mata & José Antonio Núñez Mora & Ramona Serrano Bautista, 2021. "Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China," SAGE Open, , vol. 11(2), pages 21582440211, April.
    2. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
    3. Jose Luis Alayon G., 2015. "Distribucion hiperbolica generalizada: una aplicacion en la seleccion de portafolios y en cuantificacion de medidas de riesgo de mercado," Revista de Economía del Rosario, Universidad del Rosario, vol. 18(2), pages 249-308, December.
    4. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
    5. Akihiko Takahashi & Kyo Yamamoto, 2009. "Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication," CARF F-Series CARF-F-308, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2013.
    6. Akihiko Takahashi & Kyo Yamamoto, 2009. "Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication," CIRJE F-Series CIRJE-F-624, CIRJE, Faculty of Economics, University of Tokyo.
    7. Hasanjan Sayit, 2022. "A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models," Papers 2202.02488, arXiv.org, revised Jul 2023.
    8. Jiang, Yifu & Olmo, Jose & Atwi, Majed, 2024. "Dynamic robust portfolio selection under market distress," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
    9. Kim, Joseph H.T. & Kim, So-Yeun, 2019. "Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 145-157.
    10. Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.
    11. Saralees Nadarajah & Bo Zhang & Stephen Chan, 2014. "Estimation methods for expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 271-291, February.
    12. Maria Scutellà & Raffaella Recchia, 2013. "Robust portfolio asset allocation and risk measures," Annals of Operations Research, Springer, vol. 204(1), pages 145-169, April.
    13. Mikl'os R'asonyi & Hasanjan Sayit, 2022. "Exponential utility maximization in small/large financial markets," Papers 2208.06549, arXiv.org, revised Feb 2024.
    14. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.

  6. Stefan Kassberger & Thomas Liebmann, 2011. "Minimal q-entropy martingale measures for exponential time-changed Lévy processes," Finance and Stochastics, Springer, vol. 15(1), pages 117-140, January.

    Cited by:

    1. Kassberger, Stefan & Liebmann, Thomas, 2012. "When are path-dependent payoffs suboptimal?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1304-1310.

  7. Kassberger, Stefan & Kiesel, Rüdiger & Liebmann, Thomas, 2008. "Fair valuation of insurance contracts under Lévy process specifications," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 419-433, February.

    Cited by:

    1. Markus Hess, 2018. "Cliquet option pricing in a jump-diffusion L\'{e}vy model," Papers 1810.09670, arXiv.org.
    2. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Post-Print hal-01474249, HAL.
    3. Laura Ballotta, 2009. "Pricing and capital requirements for with profit contracts: modelling considerations," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 803-817.
    4. Olivier Le Courtois & François Quittard-Pinon, 2008. "Fair Valuation of Participating Life Insurance Contracts with Jump Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 33(2), pages 106-136, December.
    5. Olivier Le Courtois & François Quittard-Pinon & Xiaoshan Su, 2020. "Pricing and hedging defaultable participating contracts with regime switching and jump risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 303-339, June.
    6. Abdou Kélani & François Quittard-Pinon, 2017. "Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 209-238, March.
    7. Julien Chevallier & Stéphane Goutte, 2014. "The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process," Working Papers 2014-285, Department of Research, Ipag Business School.
    8. Günther, Sascha & Hieber, Peter, 2024. "Analyzing the interest rate risk of equity-indexed annuities via scenario matrices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 15-28.
    9. Julien Chevallier & Stéphane Goutte, 2017. "Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching," Annals of Operations Research, Springer, vol. 255(1), pages 169-197, August.
    10. Hieber, Peter, 2017. "Cliquet-style return guarantees in a regime switching Lévy model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 138-147.
    11. Lee, Chien-Chiang & Huang, Wei-Ling & Yin, Chun-Hao, 2013. "The dynamic interactions among the stock, bond and insurance markets," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 28-52.

  8. Stefan Kassberger & Rüdiger Kiesel, 2006. "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 472-491, December.

    Cited by:

    1. Douglas Cumming & Sofia Johan, 2006. "Provincial preferences in private equity," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 369-398, December.
    2. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
    3. Albrecht, Peter & Schwake, Edmund & Winter, Peter, 2007. "Quantifizierung operationeller Risiken: Der Loss Distribution Approach," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 3(1), pages 1-45.
    4. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 442-471, December.
    5. Jose Luis Alayon G., 2015. "Distribucion hiperbolica generalizada: una aplicacion en la seleccion de portafolios y en cuantificacion de medidas de riesgo de mercado," Revista de Economía del Rosario, Universidad del Rosario, vol. 18(2), pages 249-308, December.
    6. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
    7. Emanuel Derman & Kun Soo Park & Ward Whitt, 2010. "A stochastic-difference-equation model for hedge-fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 701-733.
    8. Kim, Joseph H.T. & Kim, So-Yeun, 2019. "Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 145-157.
    9. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
    10. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.
    11. Douglas Cumming & Sofia Johan, 2007. "Advice and monitoring in venture finance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(1), pages 3-43, March.
    12. Eling, Martin, 2014. "Fitting asset returns to skewed distributions: Are the skew-normal and skew-student good models?," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 45-56.
    13. Santanu Dutta & Tushar Kanti Powdel, 2023. "Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 257-289, May.
    14. Szabolcs Szikszai & Tamas Badics, 2014. "Enhanced Funds Seeking Higher Returns," Working papers wpaper43, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    15. Martin Eling & Simone Farinelli & Damiano Rossello & Luisa Tibiletti, 2010. "Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(4), pages 290-304, September.
    16. Cécile Moigne & Patrick Savaria, 2006. "Relative importance of hedge fund characteristics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 419-441, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Stefan Kassberger should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.