Christoph Czichowsky

According to our database, Christoph Czichowsky authored at least 5 papers between 2013 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation.

Ales Cerný, Christoph Czichowsky, Jan Kallsen

Math. Oper. Res., 2024

2021

Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios.

Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi, Yan Dolinsky

SIAM J. Financial Math., 2021

2018

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs.

Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang

Finance Stochastics, 2018

2014

Transaction Costs, Shadow Prices, and Duality in Discrete Time.

Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer

SIAM J. Financial Math., 2014

2013

Time-consistent mean-variance portfolio selection in discrete and continuous time.

Christoph Czichowsky

Finance Stochastics, 2013