92 citations · 291 across the 22 of their papers we have counts for
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Option Pricing and Hedging with Small Transaction Costs
Jan Kallsen, Johannes Muhle-Karbe
An investor with constant absolute risk aversion trades a risky asset with general Itô-dynamics, in the presence of small proportional transaction costs. In this setting, we formal…
Portfolio Choice with Transaction Costs: a User's Guide
Paolo Guasoni, Johannes Muhle-Karbe
Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some direct…
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…
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
Johannes Muhle-Karbe, Ren Liu
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small t…