Christoph Frei

Publication Activity (10 Years)

Years Active: 2014-2023
Publications (10 Years): 4

Top Topics

Constraint Violations

Model Predictive Control

Trading Strategies

Top Venues

SIAM J. Financial Math.

Publications

Markus Baldauf, Christoph Frei, Joshua Mollner
Principal Trading Arrangements: Optimality under Temporary and Permanent Price Impact. EC (2023)
Markus Baldauf, Christoph Frei, Joshua Mollner
Principal Trading Arrangements: When Are Common Contracts Optimal? Manag. Sci. 68 (4) (2022)
Agostino Capponi, Christoph Frei
Systemic Influences on Optimal Equity-Credit Investment. Manag. Sci. 63 (8) (2017)
Agostino Capponi, Christoph Frei
Dynamic Contracting: Accidents Lead to Nonlinear Contracts. SIAM J. Financial Math. 6 (1) (2015)
Georg Schildbach, Lorenzo Fagiano, Christoph Frei, Manfred Morari
The scenario approach for Stochastic Model Predictive Control with bounds on closed-loop constraint violations. Autom. 50 (12) (2014)