23 citations · 29 across the 10 of their papers we have counts for
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q-fin.PM2012★ 1 cited
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…
q-fin.PM2012★ 1 cited
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…