23 citations · 29 across the 10 of their papers we have counts for
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math.OC2021★ 3 cited
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…
q-fin.MF2021
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.…