Christoph Czichowsky

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Numeraire-invariant quadratic hedging and mean-variance portfolio allocation Mathematics of Operations Research	2024-06-27	Paper
Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios SIAM Journal on Financial Mathematics	2021-12-02	Paper
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs Finance and Stochastics	2018-01-16	Paper
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion The Annals of Applied Probability	2017-09-15	Paper
Shadow prices for continuous processes Mathematical Finance	2017-07-21	Paper
Duality theory for portfolio optimisation under transaction costs The Annals of Applied Probability	2016-08-23	Paper
Strong supermartingales and limits of nonnegative martingales The Annals of Probability	2016-04-21	Paper
Transaction costs, shadow prices, and duality in discrete time SIAM Journal on Financial Mathematics	2015-01-20	Paper
Cone-constrained continuous-time Markowitz problems The Annals of Applied Probability	2013-04-24	Paper
Time-consistent mean-variance portfolio selection in discrete and continuous time Finance and Stochastics	2013-04-02	Paper
Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints Advances in Applied Probability	2013-02-28	Paper
Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands Séminaire de Probabilités XLIII	2011-03-30	Paper
Convergence in the Semimartingale Topology and Constrained Portfolios Séminaire de Probabilités XLIII	2011-03-30	Paper

Research outcomes over time

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