23 citations · 29 across the 10 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
q-fin.MF2022
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…
math.OC2022
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…