1 citations · 3 across the 5 of their papers we have counts for
5 papers
Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets
Christoph Czichowsky, Martin Herdegen, David Martins
We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing…
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer +1
We continue the analysis of our previous paper (Czichowsky/Schachermayer/Yang 2014) pertaining to the existence of a shadow price process for portfolio optimisation under proportio…
Duality Theory for Portfolio Optimisation under Transaction Costs
Christoph Czichowsky, Walter Schachermayer
For portfolio optimisation under proportional transaction costs, we provide a duality theory for general cadlag price processes. In this setting, we prove the existence of a dual o…
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…