Christoph Czichowsky

Publication Activity (10 Years)

Years Active: 2013-2024
Publications (10 Years): 3

Top Topics

Utility Maximization

Transaction Costs

Portfolio Selection

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Math. Oper. Res.

Publications

Ales Cerný, Christoph Czichowsky, Jan Kallsen
Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation. Math. Oper. Res. 49 (2) (2024)
Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi, Yan Dolinsky
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios. SIAM J. Financial Math. 12 (4) (2021)
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance Stochastics 22 (1) (2018)
Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer
Transaction Costs, Shadow Prices, and Duality in Discrete Time. SIAM J. Financial Math. 5 (1) (2014)
Christoph Czichowsky
Time-consistent mean-variance portfolio selection in discrete and continuous time. Finance Stochastics 17 (2) (2013)