23 citations · 29 across the 10 of their papers we have counts for
11 papers
Robust utility maximisation under proportional transaction costs for càdlàg price processes
Christoph Czichowsky, Raphael Huwyler
We consider robust utility maximisation in continuous-time financial markets with proportional transaction costs under model uncertainty. For this purpose, we work in the framework…
The law of one price in quadratic hedging and mean-variance portfolio selection
Aleš Černý, Christoph Czichowsky
The law of one price (LOP) broadly asserts that identical financial flows should command the same price. We show that, when properly formulated, LOP is the minimal condition for a…
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
Aleš Černý, Christoph Czichowsky, Jan Kallsen
The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numerair…
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi +1
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs.…
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer +1
We continue the analysis of our previous paper (Czichowsky/Schachermayer/Yang 2014) pertaining to the existence of a shadow price process for portfolio optimisation under proportio…
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
Christoph Czichowsky, Walter Schachermayer
While absence of arbitrage in frictionless financial markets requires price processes to be semimartingales, non-semimartingales can be used to model prices in an arbitrage-free wa…
Duality Theory for Portfolio Optimisation under Transaction Costs
Christoph Czichowsky, Walter Schachermayer
For portfolio optimisation under proportional transaction costs, we provide a duality theory for general cadlag price processes. In this setting, we prove the existence of a dual o…
Shadow prices for continuous processes
Christoph Czichowsky, Walter Schachermayer, Junjian Yang
In a financial market with a continuous price process and proportional transaction costs we investigate the problem of utility maximization of terminal wealth. We give sufficient c…
Strong supermartingales and limits of nonnegative martingales
Christoph Czichowsky, Walter Schachermayer
Given a sequence of nonnegative martingales starting at , we find a sequence of convex combinations and a limitin…
Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
Christoph Czichowsky
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and ther…
Transaction Costs, Shadow Prices, and Duality in Discrete Time
Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a "shadow price", i.e., a least favorable frictionless market extension le…