Walter Schachermayer

According to our database1, Walter Schachermayer authored at least 13 papers between 1997 and 2020.

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Bibliography

2020
Theoretical and empirical analysis of trading activity.
Math. Program., 2020

2018
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs.
Finance Stochastics, 2018

2017
Erratum to: Utility maximization in incomplete markets with random endowment.
Finance Stochastics, 2017

The space of outcomes of semi-static trading strategies need not be closed.
Finance Stochastics, 2017

2014
Transaction Costs, Shadow Prices, and Duality in Discrete Time.
SIAM J. Financial Math., 2014

Transaction costs, trading volume, and the liquidity premium.
Finance Stochastics, 2014

On the duality theory for the Monge?Kantorovich transport problem.
Proceedings of the Optimal Transport - Theory and Applications., 2014

2013
The dual optimizer for the growth-optimal portfolio under transaction costs.
Finance Stochastics, 2013

2009
In which financial markets do mutual fund theorems hold true?
Finance Stochastics, 2009

2006
A super-replication theorem in Kabanov's model of transaction costs.
Finance Stochastics, 2006

2003
A super-martingale property of the optimal portfolio process.
Finance Stochastics, 2003

2001
Utility maximization in incomplete markets with random endowment.
Finance Stochastics, 2001

1997
Weighted norm inequalities and hedging in incomplete markets.
Finance Stochastics, 1997


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