Dr. Christoph Czichowsky
London School of Economics and Political Science
Department of Mathematics
Columbia House, COL 3.11
London WC2A 2AE
United Kingdom
Email: c.czichowsky@lse.ac.uk
A. Cerny, C. Czichowsky and J. Kallsen (2021)
"Numeraire-invariant quadratic hedging and mean-variance portfolio allocation"
arXiv preprint 2110.09416, p. 1-35. Available at SSRN: https://ssrn.com/abstract=3944947
E. Bayraktar, C. Czichowsky, L. Dolinskyi and Y. Dolinsky (2021)
arXiv preprint arXiv:2107.01568, p. 1-10. To appear in SIAM Journal on Financial Mathematics.
P. Iannone, C. Czichowsky and J. Ruf (2020)
Educational Studies in Mathematics, Vol. 103, p. 313-337, 2020.
C. Czichowsky, R. Peyre, W. Schachermayer and J. Yang (2016)
"Shadow prices, fractional Brownian motion and portfolio optimisation under transaction costs"
Finance & Stochastics, Vol. 22, No. 1, p. 161-180, 2018.
C. Czichowsky and W. Schachermayer (2015)
"Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion"
Annals of Applied Probability, Vol. 27, No. 3, p. 1414-1451, 2017.
C. Czichowsky and W. Schachermayer (2014)
"Duality Theory for Portfolio Optimisation under Transaction Costs"
Annals of Applied Probability, Vol. 26, No. 3, p. 1888-1941, 2016.
C. Czichowsky, W. Schachermayer and J. Yang (2014)
"Shadow Prices for Continuous Processes"
Mathematical Finance, Vol. 27, No. 3, p. 623-658, 2017.
C. Czichowsky and W. Schachermayer (2013)
"Strong supermartingales and limits of non-negative martingales"
Annals of Probability, Vol. 44, No. 1, p. 171-205, 2016.
C. Czichowsky, J. Muhle-Karbe and W. Schachermayer (2012)
"Transaction Costs and Shadow Prices in Discrete Time"
SIAM Journal on Financial Mathematics, Vol. 5, No. 1, p. 258-277, 2014.
C. Czichowsky and M. Schweizer (2011)
"Cone-Constrained Continuous-Time Markowitz Problems"
Annals of Applied Probability, Vol. 23, No. 2, p. 764-810, 2013.
C. Czichowsky (2010, 2012)
"Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time"
Finance & Stochastics, Vol. 17, No. 2, p. 227-271, 2013.
C. Czichowsky and M. Schweizer (2012)
"Convex Duality in Mean-Variance Hedging under Convex Trading Constraints"
Advances in Applied Probability, Vol. 44, No. 4, p. 1048-1112, 2012.
C. Czichowsky and M. Schweizer (2011)
Séminaire de Probabilités XLIII, Lecture Notes in Mathematics 2006, p. 413-436.
C. Czichowsky, N. Westray and H. Zheng (2011)
"Convergence in the semimartingale topology and constrained portfolios"
Séminaire de Probabilités XLIII, Lecture Notes in Mathematics 2006, p. 395-412.
C. Czichowsky (2011)
"Mean-Variance Portfolio Optimisation: Trading Constraints and Time Consistency"
PhD Thesis, Diss. ETH No. 19561, ETH Zurich.
Last update November 14, 2021.