Johannes Muhle-Karbe
- Existence of Shadow Prices in Finite Probability Spaces
2009/11/25 by Jan Kallsen, Johannes Muhle-Karbe, Kallsen, Jan +1 · 2 citations
Economics, Econometrics and Finance · #FOS: Economics and business #Portfolio Management (q-fin.PM) #q-fin.PM
- Option Pricing and Hedging with Small Transaction Costs
2012/09/12 by Jan Kallsen, Johannes Muhle-Karbe, Kallsen, Jan +1 · 2 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #math.OC #math.PR #q-fin.PM #q-fin.PR
- Trading with Small Price Impact
2014/02/21 by Ludovic Moreau, Johannes Muhle-Karbe, Moreau, Ludovic +3 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Analysis of PDEs (math.AP) #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Trading and Market Microstructure (q-fin.TR) #math.AP #math.OC #q-fin.PM #q-fin.TR
- Hedging with Small Uncertainty Aversion
2016/05/20 by Sebastian Herrmann, Herrmann, Sebastian, Johannes Muhle-Karbe +3 · 2 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR) #math.OC #math.PR #q-fin.MF
- Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
2017/04/14 by Sebastian Herrmann, Johannes Muhle‐Karbe, Johannes Muhle-Karbe +2 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Capital Investment and Risk Analysis #Market Dynamics and Volatility #Stochastic processes and financial applications #math.OC #q-fin.MF
- Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
2012/05/21 by Johannes Muhle‐Karbe, Johannes Muhle-Karbe, Muhle-Karbe, Johannes +2 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Banking stability, regulation, efficiency #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications #math.OC #q-fin.PM
- Transaction Costs, Shadow Prices, and Duality in Discrete Time
2012/05/21 by Christoph Czichowsky, Johannes Muhle‐Karbe, Johannes Muhle-Karbe +4 · 2 citations
Economics, Econometrics and Finance · #60G48 #91G19 #93E20 #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications #msc:60G48 #msc:91G19 #msc:93E20 #q-fin.PM
- Small-Time Asymptotics of Option Prices and First Absolute Moments
2010/06/30 by Johannes Muhle-Karbe, Marcel Nutz · 1 citation
Economics, Econometrics and Finance · Mathematics · #q-fin.PR #math.PR #msc:91B25 #msc:60G44
- The dual optimizer for the growth-optimal portfolio under transaction costs
2010/05/27 by Stefan Gerhold, Gerhold, Stefan, Johannes Muhle-Karbe +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #math.OC #math.PR #q-fin.PM
- Portfolio Choice with Stochastic Investment Opportunities: a User's Guide
2013/11/07 by Ren Liu, Johannes Muhle-Karbe, Johannes Muhle‐Karbe +2 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.OC #q-fin.PM
- Portfolio Choice with Small Temporary and Transient Price Impact
2017/05/31 by Ibrahim Ekren, Johannes Muhle-Karbe · 1 citation
Economics, Econometrics and Finance · Mathematics · #q-fin.PM #math.OC #msc:91G10 #msc:91G80 #msc:35K55
- A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing
2016/12/29 by Johannes Muhle-Karbe, Marcel Nutz, Muhle-Karbe, Johannes +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #91B51 #91G20 #93E20 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #math.OC #msc:91B51 #msc:91G20 #msc:93E20 #q-fin.MF
- Liquidity in Competitive Dealer Markets
2018/07/22 by Peter Bank, Bank, Peter, Ibrahim Ekren +3 · 1 citation
Economics, Econometrics and Finance · #FOS: Economics and business #General Finance (q-fin.GN) #Portfolio Management (q-fin.PM) #Trading and Market Microstructure (q-fin.TR) #q-fin.GN #q-fin.PM #q-fin.TR
- Liquidity Provision with Adverse Selection and Inventory Costs
2021/07/26 by Martin Herdegen, Johannes Muhle-Karbe, Herdegen, Martin +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Trading and Market Microstructure (q-fin.TR) #math.OC #q-fin.TR
- Rebalancing with Linear and Quadratic Costs
2014/02/21 by Ren Liu, Liu, Ren, Johannes Muhle-Karbe +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Trading and Market Microstructure (q-fin.TR) #math.OC #math.PR #q-fin.PM #q-fin.TR