Christoph Czichowsky

Available identifiers

Publication	Date of Publication	Type
Numeraire-invariant quadratic hedging and mean-variance portfolio allocation	2024-06-27	Paper
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios	2021-12-02	Paper
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs	2018-01-16	Paper
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion	2017-09-15	Paper
SHADOW PRICES FOR CONTINUOUS PROCESSES	2017-07-21	Paper
Duality theory for portfolio optimisation under transaction costs	2016-08-23	Paper
Strong supermartingales and limits of nonnegative martingales	2016-04-21	Paper
Transaction costs, shadow prices, and duality in discrete time	2015-01-20	Paper
Cone-constrained continuous-time Markowitz problems	2013-04-24	Paper
Time-consistent mean-variance portfolio selection in discrete and continuous time	2013-04-02	Paper
Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints	2013-02-28	Paper
Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands	2011-03-30	Paper
Convergence in the Semimartingale Topology and Constrained Portfolios	2011-03-30	Paper

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