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Christoph Czichowsky
Christoph Czichowsky
Associate Professor of Mathematics, London School of Economics and Political Science
Dirección de correo verificada de lse.ac.uk - Página principal
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Time-consistent mean-variance portfolio selection in discrete and continuous time
C Czichowsky
Finance and Stochastics 17, 227-271, 2013
1282013
Duality theory for portfolio optimisation under transaction costs
C Czichowsky, W Schachermayer
532016
The impact of high stakes oral performance assessment on students’ approaches to learning: a case study
P Iannone, C Czichowsky, J Ruf
Educational Studies in Mathematics 103 (3), 313-337, 2020
422020
Transaction costs, shadow prices, and duality in discrete time
C Czichowsky, J Muhle-Karbe, W Schachermayer
SIAM Journal on Financial Mathematics 5 (1), 258-277, 2014
37*2014
Cone-constrained continuous-time Markowitz problems
C Czichowsky, M Schweizer
372013
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
C Czichowsky, W Schachermayer
The Annals of Applied Probability, 1414-1451, 2017
332017
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
C Czichowsky, R Peyre, W Schachermayer, J Yang
Finance and Stochastics 22, 161-180, 2018
272018
Shadow prices for continuous processes
C Czichowsky, W Schachermayer, J Yang
Mathematical Finance 27 (3), 623-658, 2017
252017
Convex duality in mean-variance hedging under convex trading constraints
C Czichowsky, M Schweizer
Advances in Applied Probability 44 (4), 1084-1112, 2012
202012
Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands
C Czichowsky, M Schweizer
Séminaire de Probabilités XLIII, 413-436, 2011
192011
Strong supermartingales and limits of nonnegative martingales
C Czichowsky, W Schachermayer
172016
Convergence in the semimartingale topology and constrained portfolios
C Czichowsky, N Westray, H Zheng
Séminaire de Probabilités XLIII, 395-412, 2011
92011
Numeraire-invariant quadratic hedging and mean-variance portfolio allocation
A Cerny, C Czichowsky, J Kallsen
MATHEMATICS OF OPERATIONS RESEARCH, 2023
52023
The law of one price in mean-variance hedging
C Czichowsky
arXiv. org Papers, 2022
1*2022
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
E Bayraktar, C Czichowsky, L Dolinskyi, Y Dolinsky
SIAM Journal on Financial Mathematics 12 (4), SC115-SC125, 2021
12021
Robust utility maximisation under proportional transaction costs for c\adl\ag price processes
C Czichowsky, R Huwyler
arXiv preprint arXiv:2211.00532, 2022
2022
Time-Consistent Mean-Variance Portfolio Optimisation in Discrete and Continuous Time
C Czichowsky
Finance and Stochastics, 2012
2012
Mean-variance Portfolio Optimisation: Trading Constraints and Time Consistency
CJ Czichowsky
ETH ZURICH, 2011
2011
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Artículos 1–18