Christoph Czichowsky

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

Walter Schachermayer, Junjian Yang, Christoph Czichowsky, 2018, Finance Stochastics.

Transaction Costs, Shadow Prices, and Duality in Discrete Time

Johannes Muhle-Karbe, Christoph Czichowsky, Walter Schachermayer, 2012, SIAM J. Financial Math..

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

Christoph Czichowsky, Christoph Czichowsky, 2012, Finance and Stochastics.

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

Erhan Bayraktar, Christoph Czichowsky, Yan Dolinsky, 2021, SIAM J. Financial Math..

Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation

Christoph Czichowsky, Jan Kallsen, Aleš Černý, 2021 .

National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No . 667 Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints

Christoph Czichowsky, Martin Schweizer, M. Schweizer, 2012 .

Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands

Christoph Czichowsky, Martin Schweizer, M. Schweizer, 2011 .