Items where Author is "Czichowsky, Christoph"

Article

Černý, Aleš, Czichowsky, Christoph and Kallsen, Jan (2023) Numeraire-invariant quadratic hedging and mean–variance portfolio allocation. Mathematics of Operations Research. ISSN 0364-765X

Bayraktar, Erhan, Czichowsky, Christoph, Dolinskyi, Leonid and Dolinsky, Yan (2021) Short communication: a note on utility maximization with proportional transaction costs and stability of optimal portfolios. SIAM Journal on Financial Mathematics, 12 (4). SC115 - SC125. ISSN 1945-497X

Paola, Iannone, Czichowsky, Christoph and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2020) The impact of high stakes oral performance assessment on students’ approaches to learning: a case study. Educational Studies in Mathematics, 103 (3). 313 - 337. ISSN 0013-1954

Czichowsky, Christoph, Schachermayer, Walter and Yang, Junjian (2017) Shadow prices for continuous processes. Mathematical Finance, 27 (3). pp. 623-658. ISSN 0960-1627

Czichowsky, Christoph and Schachermayer, Walter (2017) Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion. Annals of Applied Probability, 27 (3). pp. 1414-1451. ISSN 1050-5164

Czichowsky, Christoph and Schachermayer, Walter (2016) Duality theory for portfolio optimisation under transaction costs. Annals of Applied Probability, 26 (3). pp. 1888-1941. ISSN 1050-5164

Czichowsky, Christoph and Schachermayer, Walter (2016) Strong supermartingales and limits of non-negative martingales. Annals of Probability, 44 (1). pp. 171-205. ISSN 0091-1798

Czichowsky, Christoph, Muhle-Karbe, Johannes and Schachermayer, Walter (2014) Transaction costs, shadow prices, and duality in discrete time. SIAM Journal on Financial Mathematics, 5 (1). pp. 258-277. ISSN 1945-497X

Czichowsky, Christoph and Schweizer, Martin (2013) Cone-constrained continuous-time Markowitz problems. Annals of Applied Probability, 23 (2). pp. 764-810. ISSN 1050-5164

Czichowsky, Christoph (2013) Time-consistent mean-variance portfolio selection in discrete and continuous time. Finance and Stochastics, 17 (2). pp. 227-271. ISSN 0949-2984

Czichowsky, Christoph and Schweizer, Martin (2012) Convex duality in mean-variance hedging under convex trading constraints. Advances in Applied Probability, 44 (4). pp. 1084-1112. ISSN 0001-8678

Book Section

Czichowsky, Christoph and Schweizer, Martin (2011) Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands. In: Donati-Martin, Catherine, Lejay, Antoine and Rouault, Alain, (eds.) Séminaire De Probabilités Xliii. Lecture Notes in Mathematics (2006). Springer Berlin / Heidelberg, Berlin, Germany, pp. 413-436. ISBN 9783642152160

Czichowsky, Christoph, Westray, Nicholas and Zheng, Harry (2011) Convergence in the semimartingale topology and constrained portfolios. In: Donati-Martin, Catherine, Lejay, Antoine and Rouault, Alain, (eds.) Séminaire De Probabilités Xliii. Lecture Notes in Mathematics (2006). Springer Berlin / Heidelberg, Berlin, Germany, pp. 395-412. ISBN 9783642152160

Monograph

Černý, Aleš, Czichowsky, Christoph and Kallsen, Jan (2021) Numeraire-invariant quadratic hedging and mean–variance portfolio allocation. .

Czichowsky, Christoph, Muhle-Karbe, Johannes and Schachermayer, Walter (2013) Transaction costs and shadow prices in discrete time. . The London School of Economics and Political Science, Department of Mathematics, London, UK.