23 citations · 29 across the 10 of their papers we have counts for
5 papers · 1 filter
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…
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…