LSE creators

Number of items: 18.
Article
  • Černý, Aleš, Czichowsky, Christoph (2025). The law of one price in quadratic hedging and mean–variance portfolio selection. Finance and Stochastics, 29(3), 847 - 884. https://doi.org/10.1007/s00780-025-00563-7 picture_as_pdf
  • Černý, Aleš, Czichowsky, Christoph, Kallsen, Jan (2024). Numeraire-invariant quadratic hedging and mean–variance portfolio allocation. Mathematics of Operations Research, 49(2), 752 - 781. https://doi.org/10.1287/moor.2023.1374 picture_as_pdf
  • Bayraktar, Erhan, Czichowsky, Christoph, Dolinskyi, Leonid, Dolinsky, Yan (2021). Short communication: a note on utility maximization with proportional transaction costs and stability of optimal portfolios. SIAM Journal on Financial Mathematics, 12(4), SC115 - SC125. https://doi.org/10.1137/21M1431382 picture_as_pdf
  • Paola, Iannone, Czichowsky, Christoph, Ruf, Johannes (2020). The impact of high stakes oral performance assessment on students’ approaches to learning: a case study. Educational Studies in Mathematics, 103(3), 313 - 337. https://doi.org/10.1007/s10649-020-09937-4 picture_as_pdf
  • Czichowsky, Christoph Johannes, Peyre, Rémi, Schachermayer, Walter, Yang, Junjian (2018). Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance and Stochastics, 22(1), 161-180. https://doi.org/10.1007/s00780-017-0351-5
  • Czichowsky, Christoph, Schachermayer, Walter, Yang, Junjian (2017). Shadow prices for continuous processes. Mathematical Finance, 27(3), 623-658. https://doi.org/10.1111/mafi.12103
  • Czichowsky, Christoph, Schachermayer, Walter (2017). Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion. Annals of Applied Probability, 27(3), 1414-1451. https://doi.org/10.1214/16-AAP1234
  • Czichowsky, Christoph, Schachermayer, Walter (2016). Duality theory for portfolio optimisation under transaction costs. Annals of Applied Probability, 26(3), 1888-1941. https://doi.org/10.1214/15-AAP1136
  • Czichowsky, Christoph, Schachermayer, Walter (2016). Strong supermartingales and limits of non-negative martingales. Annals of Probability, 44(1), 171-205. https://doi.org/10.1214/14-AOP970
  • Czichowsky, Christoph, Muhle-Karbe, Johannes, Schachermayer, Walter (2014). Transaction costs, shadow prices, and duality in discrete time. SIAM Journal on Financial Mathematics, 5(1), 258-277. https://doi.org/10.1137/130925864
  • Czichowsky, Christoph, Schweizer, Martin (2013). Cone-constrained continuous-time Markowitz problems. Annals of Applied Probability, 23(2), 764-810. https://doi.org/10.1214/12-AAP855
  • Czichowsky, Christoph (2013). Time-consistent mean-variance portfolio selection in discrete and continuous time. Finance and Stochastics, 17(2), 227-271. https://doi.org/10.1007/s00780-012-0189-9
  • Czichowsky, Christoph, Schweizer, Martin (2012). Convex duality in mean-variance hedging under convex trading constraints. Advances in Applied Probability, 44(4), 1084-1112.
    • Chapter
  • Czichowsky, Christoph, Schweizer, Martin (2011). Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands. In Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain (Eds.), Séminaire De Probabilités Xliii (pp. 413-436). Springer Berlin / Heidelberg. https://doi.org/10.1007/978-3-642-15217-7_18
  • Czichowsky, Christoph, Westray, Nicholas, Zheng, Harry (2011). Convergence in the semimartingale topology and constrained portfolios. In Donati-Martin, Catherine, Lejay, Antoine, Rouault, Alain (Eds.), Séminaire De Probabilités Xliii (pp. 395-412). Springer Berlin / Heidelberg. https://doi.org/10.1007/978-3-642-15217-7_17
    • Report
  • Czichowsky, Christoph, Muhle-Karbe, Johannes, Schachermayer, Walter (2013). Transaction costs and shadow prices in discrete time. The London School of Economics and Political Science, Department of Mathematics.
    • Thesis
  • Czichowsky, Christoph Johannes (2011). Mean-variance portfolio optimisation: trading constraints and time consistency [Doctoral thesis]. ETH Zurich.
    • Working paper
  • Černý, Aleš, Czichowsky, Christoph, Kallsen, Jan (2021). Numeraire-invariant quadratic hedging and mean–variance portfolio allocation. picture_as_pdf