Nils Christian Framstad

Associate Professor - Department of Economics
Image of Nils Christian Framstad
Norwegian version of this page
Phone +47 22855151
Mobile phone 90163893
Room ES1114
Username
Visiting address Moltke Moes vei 31 Eilert Sundts hus 12. etg. 0851 Oslo
Postal address Postboks 1095 Blindern 0317 Oslo

Academic Interests

Stochastic optimization with applications (finance, resource/environmental economics).

Teaching

Previously also lectured

Background

  • Associate Professor, Department of economics, University of Oslo, 2007
  • Senior advisor, The Financial Supervisory Authority of Norway, 20022007 (and 2007)
  • Dr. scient (PhD equivalent) (applied and industrial mathematics), Department of mathematics (Research Council funded), University of Oslo, 2002

 

Tags: Economics, Mathematics, Money Credit and Finance, Resources Energy and Environment

Publications

  • Framstad, Nils Christian (2017). Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508. 89(1), p. 38–64. doi: 10.1080/17442508.2015.1132218. Full text in Research Archive
  • Framstad, Nils Christian (2015). Portfolio Theory for α-Symmetric and Pseudoisotropic Distributions: k-Fund Separation and the CAPM. Journal of Probability and Statistics. ISSN 1687-952X. 2015. doi: 10.1155/2015/235452. Full text in Research Archive
  • Framstad, Nils Christian & Strand, Jon (2015). Energy intensive infrastructure investments with retrofits in continuous time: Effects of uncertainty on energy use and carbon emissions. Resource and Energy Economics. ISSN 0928-7655. 41, p. 1–18. doi: 10.1016/j.reseneeco.2015.03.003. Full text in Research Archive
  • Framstad, Nils Christian (2014). When can the environmental profile and emissions reduction be optimised independently of the pollutant level? Journal of Environmental Economics and Policy. ISSN 2160-6544. 3(1), p. 25–45. doi: 10.1080/21606544.2013.856353.
  • Framstad, Nils Christian (2014). On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes. Brazilian Journal of Probability and Statistics. ISSN 0103-0752. 28(2), p. 223–240. doi: 10.1214/12-BJPS203. Full text in Research Archive
  • Framstad, Nils Christian (2013). When can environmental profile and emissions reductions be optimized independently of the pollutant level? Memorandum from Department of Economics, University of Oslo. ISSN 0809-8786. 2013(12). doi: 10.1080/21606544.2013.856353.
  • Framstad, Nils Christian (2013). Ross-type Dynamic Portfolio Separation (almost) without Ito Stochastic Calculus. Memorandum from Department of Economics, University of Oslo. ISSN 0809-8786. 2013(21). doi: 10.1080/17442508.2015.1132218.
  • Framstad, Nils Christian & Strand, Jon (2013). Energy Intensive Infrastructure Investments with Retrofits in Continuous Time: Effects of Uncertainty on Energy Use and Carbon Emissions. Memorandum from Department of Economics, University of Oslo. ISSN 0809-8786. 2013(11). doi: 10.1016/j.reseneeco.2015.03.003.
  • Framstad, Nils Christian (2011). On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes. Memorandum from Department of Economics, University of Oslo. ISSN 0809-8786. 20. doi: 10.1214/12-bjps203.
  • Framstad, Nils Christian (2011). Portfolio Separation with α-symmetric and Psuedo-isotropic Distributions. Memorandum from Department of Economics, University of Oslo. ISSN 0809-8786. doi: 10.1155/2017/9594547.
  • Framstad, Nils Christian (2011). Portfolio Separation Properties of the Skew-Elliptical Distributions. Memorandum from Department of Economics, University of Oslo. ISSN 0809-8786.
  • Framstad, Nils Christian (2011). Portfolio separation properties of the skew-elliptical distributions, with generalizations. Statistics and Probability Letters. ISSN 0167-7152. 81(12), p. 1862–1866. doi: 10.1016/j.spl.2011.07.006.
  • Framstad, Nils Christian (2011). A remark on R.S. Pindyck: "Irreversibilities and the timing of environmental policy". Resource and Energy Economics. ISSN 0928-7655. 33(3), p. 756–760. doi: 10.1016/j.reseneeco.2011.01.004.
  • Framstad, Nils Christian (2007). Optimal stochastic control and non-depletion of a renewable resource under Hindy-Huang style intertemporal substitution. In Jensen, Bjarne S & Palokangas, Tapio (Ed.), Stochastic Economic Dynamics. Copenhagen Business School Press. ISSN 9788763001854. p. 361–372.
  • Framstad, Nils Christian (2006). Arrow-Mangasarian sufficient conditions for controlled semimartingales. Stochastic Analysis and Applications. ISSN 0736-2994. 24, p. 929–938.
  • Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2004). A sufficient stochastic maximum principle for optimal control of jump diffusions and applications to finance. Journal of Optimization Theory and Applications. ISSN 0022-3239. 121(1), p. 77–98. doi: 10.1023/B:JOTA.0000026132.62934.96.
  • Framstad, Nils Christian (2004). Non-robustness with respect to intervention costs in optimal control. Stochastic Analysis and Applications. ISSN 0736-2994. 22, p. 333–340.
  • Framstad, Nils Christian (2004). Coherent portfolio separation – inherent systemic risk? International Journal of Theoretical and Applied Finance. ISSN 0219-0249. 07, p. 909–917. doi: 10.1142/S0219024904002712.
  • Framstad, Nils Christian (2004). On portfolio separtion in the Merton problem with bankruptcy or default. In Albeverio, Sergio; boutet de monvel, Anne & Ouerdiane, Habib (Ed.), Proceedings of the International Conference on Stochastic Analysis and Applications. Springer. ISSN 978-1-4020-2467-2. p. 249–265.
  • Framstad, Nils Christian (2003). Optimal Harvesting of a Jump Diffusion Population and the Effect of Jump Uncertainty. SIAM Journal of Control and Optimization. ISSN 0363-0129. 42(4), p. 1451–1465. doi: 10.1137/S0363012902385910.
  • Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2001). Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs. Journal of Mathematical Economics. ISSN 0304-4068. 35(2), p. 233–257. doi: 10.1016/S0304-4068(00)00067-7.

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  • Framstad, Nils Christian (2018). Dynamic conservation contracts.
  • Framstad, Nils Christian & Harstad, Bård Gjul (2017). Conservation Contracts for Exhaustible Resources.
  • Framstad, Nils Christian (2016). Spectrally negative stable vectors, their covariations on the positive orthant, and the Capital Asset Pricing Model.
  • Framstad, Nils Christian (2015). Revisiting some results and counterexamples in stochastic portfolio optimization.
  • Framstad, Nils Christian (2014). The effect of small intervention costs on the optimal extraction of dividends or of renewable resources.
  • Framstad, Nils Christian (2013). Portfolio theory for a class of non-symmetric heavy-tailed distributions, and applicability to insurance.
  • Framstad, Nils Christian (2011). Some cases of Ross-type portfolio separation – α-stable, α-symmetric and pseudo-isotropic distributions, with generalizations.
  • Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2005). Errata corrige: "Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance". Journal of Optimization Theory and Applications. ISSN 0022-3239. 124(2), p. 511–512. doi: 10.1007/s10957-004-0949-6.
  • Framstad, Nils Christian (2014). The Effect of Small Intervention Costs on the Optimal Extraction of Dividends and Renewable Resources in a Jump-Diffusion Model. Memorandum from Department of Economics, University of Oslo. ISSN 0809-8786. 2014(25).
  • Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2001). A Sufficient Stochastic Maximum Principle for Optimal Control of Jump Diffusions and Applications to Finance. Universitetet i Oslo. ISSN 8255313125.
  • Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (1999). Optimal Consumption and Portfolio in a Jump Diffusion Market with proportional transaction costs. INRIA.
  • Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (1999). Optimal Consumption and Portfolio in a Jump Diffusion Market. Institutt for foretaksøkonomi. Norges handelshøyskole.

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Published Oct. 1, 2010 5:06 PM - Last modified Jan. 17, 2023 12:20 PM