Czichowsky, Christoph
- Duality Theory for Portfolio Optimisation under Transaction Costs
2014/08/26 by Christoph Czichowsky, Czichowsky, Christoph, Walter Schachermayer +1 · 3 citations
Economics, Econometrics and Finance · #60G48 #91G10 #93E20 #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications #msc:60G48 #msc:91G10 #msc:93E20 #q-fin.MF #q-fin.PM
- Portfolio optimisation beyond semimartingales: shadow prices and\n fractional Brownian motion
2015/05/10 by Christoph Czichowsky, Czichowsky, Christoph, Walter Schachermayer +1 · 2 citations
Economics, Econometrics and Finance · #60G22 #60G48 #91G10 #93E20 #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications
- Transaction Costs, Shadow Prices, and Duality in Discrete Time
2012/05/21 by Christoph Czichowsky, Czichowsky, Christoph, 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
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
2016/08/03 by Christoph Czichowsky, Czichowsky, Christoph, Rémi Peyre +5 · 2 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling
- Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
2012/05/21 by Christoph Czichowsky, Czichowsky, Christoph · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G48 #91G10 #93E20 #Advanced Bandit Algorithms Research #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.OC #msc:60G48 #msc:91G10 #msc:93E20 #q-fin.PM
- Shadow prices for continuous processes
2014/08/26 by Christoph Czichowsky, Czichowsky, Christoph, Walter Schachermayer +3 · 1 citation
Economics, Econometrics and Finance · #60G48 #91G10 #93E20 #Capital Investment and Risk Analysis #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications
- Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
2021/10/18 by Aleš Černý, Černý, Aleš, Christoph Czichowsky +3 · 1 citation
Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications