Muhle-Karbe, Johannes
- Trading with Small Price Impact
2014/02/21 by Ludovic Moreau, Moreau, Ludovic, Johannes Muhle-Karbe +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
- 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
- Existence of Shadow Prices in Finite Probability Spaces
2009/11/25 by Jan Kallsen, Johannes Muhle-Karbe, Kallsen, Jan +1 · 1 citation
Economics, Econometrics and Finance · #FOS: Economics and business #Portfolio Management (q-fin.PM) #q-fin.PM
- 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
- Option Pricing and Hedging with Small Transaction Costs
2012/09/12 by Jan Kallsen, Kallsen, Jan, Johannes Muhle-Karbe +1 · 1 citation
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
- Portfolio Choice with Stochastic Investment Opportunities: a User's Guide
2013/11/07 by Ren Liu, Liu, Ren, 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
- Hedging with Small Uncertainty Aversion
2016/05/20 by Herrmann, Sebastian, Muhle-Karbe, Johannes, Seifried, Frank Thomas · 1 citation
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)
- Model Uncertainty, Recalibration, and the Emergence of Delta-Vega\n Hedging
2017/04/14 by Sebastian Herrmann, Herrmann, Sebastian, Johannes Muhle‐Karbe +1 · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Capital Investment and Risk Analysis #Market Dynamics and Volatility
- A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing
2016/12/29 by Muhle-Karbe, Johannes, Nutz, Marcel · 1 citation
#91B51 #91G20 #93E20 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
- Liquidity Provision with Adverse Selection and Inventory Costs
2021/07/26 by Herdegen, Martin, Muhle-Karbe, Johannes, Stebegg, Florian · 1 citation
#FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Trading and Market Microstructure (q-fin.TR)
- The Cost of Misspecifying Price Impact
2023/06/01 by Natascha Hey, Hey, Natascha, Jean‐Philippe Bouchaud +7 · 1 citation
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Trading and Market Microstructure (q-fin.TR)