Christoph Belak

Publication Activity (10 Years)

Years Active: 2015-2022
Publications (10 Years): 4

Top Topics

Investment Strategies

Transaction Costs

Infinite Horizon

Control Problems

Top Venues

SIAM J. Control. Optim.

Finance Stochastics

SIAM J. Financial Math.

Publications

Erhan Bayraktar, Christoph Belak, Sören Christensen, Frank Thomas Seifried
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit. SIAM J. Control. Optim. 60 (5) (2022)
Christoph Belak, An Chen, Carla Mereu, Robert Stelzer
Optimal Investment with Time-Varying Stochastic Endowments. SIAM J. Financial Math. 13 (3) (2022)
Christoph Belak, Sören Christensen
Utility maximisation in a factor model with constant and proportional transaction costs. Finance Stochastics 23 (1) (2019)
Christoph Belak, Sören Christensen, Frank Thomas Seifried
A General Verification Result for Stochastic Impulse Control Problems. SIAM J. Control. Optim. 55 (2) (2017)
Christoph Belak, Olaf Menkens, Jörn Sass
On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs. SIAM J. Control. Optim. 53 (5) (2015)