Walter Schachermayer

Publication Activity (10 Years)

Years Active: 1997-2021
Publications (10 Years): 5

Top Topics

Optimal Portfolio

Fractional Brownian Motion

Long Range Dependence

Top Venues

Finance Stochastics

SIAM J. Financial Math.

Commun. Inf. Syst.

Publications

Ioannis Karatzas, Jan Maas, Walter Schachermayer
Trajectorial dissipation and gradient flow for the relative entropy in Markov chains. Commun. Inf. Syst. 21 (4) (2021)
Mathias Pohl, Alexander Ristig, Walter Schachermayer, Ludovic Tangpi
Theoretical and empirical analysis of trading activity. Math. Program. 181 (2) (2020)
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance Stochastics 22 (1) (2018)
Beatrice Acciaio, Martin Larsson, Walter Schachermayer
The space of outcomes of semi-static trading strategies need not be closed. Finance Stochastics 21 (3) (2017)
Jaksa Cvitanic, Walter Schachermayer, Hui Wang
Erratum to: Utility maximization in incomplete markets with random endowment. Finance Stochastics 21 (3) (2017)
Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer
Transaction costs, trading volume, and the liquidity premium. Finance Stochastics 18 (1) (2014)
Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer
Transaction Costs, Shadow Prices, and Duality in Discrete Time. SIAM J. Financial Math. 5 (1) (2014)
Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer
The dual optimizer for the growth-optimal portfolio under transaction costs. Finance Stochastics 17 (2) (2013)
Walter Schachermayer, Mihai Sîrbu, Erik Taflin
In which financial markets do mutual fund theorems hold true? Finance Stochastics 13 (1) (2009)
Luciano Campi, Walter Schachermayer
A super-replication theorem in Kabanov's model of transaction costs. Finance Stochastics 10 (4) (2006)
Walter Schachermayer
A super-martingale property of the optimal portfolio process. Finance Stochastics 7 (4) (2003)
Jaksa Cvitanic, Walter Schachermayer, Hui Wang
Utility maximization in incomplete markets with random endowment. Finance Stochastics 5 (2) (2001)
Freddy Delbaen, Pascale Monat, Walter Schachermayer, Martin Schweizer, Christophe Stricker
Weighted norm inequalities and hedging in incomplete markets. Finance Stochastics 1 (3) (1997)