3 papers
q-fin.MF2025
Robust utility maximisation under proportional transaction costs for cà dlà g 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.OC2025
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
AleÅ¡ Äerný, 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…
math.OC2024
The law of one price in quadratic hedging and mean-variance portfolio selection
AleÅ¡ Äerný, 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…