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