Czichowsky, Christoph and
Schachermayer, Walter
(2016)
Strong supermartingales and limits of non-negative martingales
Annals of Probability, 44 (1). 171-205. ISSN 0091-1798
Czichowsky, Christoph and
Schachermayer, Walter
(2016)
Portfolio optimisation beyond semimartingales: shadow
prices and fractional Brownian motion
The Annals of Applied Probability. ISSN 1050-5164
Czichowsky, Christoph
(2013)
Time-consistent mean-variance portfolio selection in discrete and continuous time
Finance and Stochastics, 17 (2). 227-271. ISSN 0949-2984
Czichowsky, Christoph and
Schweizer, Martin
(2013)
Cone-constrained continuous-time Markowitz problems
The Annals of Applied Probability, 23 (2). 764-810. ISSN 1050-5164
Czichowsky, Christoph and
Westray , Nicholas and
Zheng, Harry
(2011)
Convergence in the semimartingale topology and constrained portfolios
In:
Donati-Martin, Catherine and
Lejay, Antoine and
Rouault , Alain, (eds.)
Séminaire De Probabilités Xliii. Lecture Notes in Mathematics (2006). Springer, Berlin, Germany, 395-412. ISBN 9783642152160
Czichowsky, Christoph and
Schweizer, Martin
(2011)
Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands
In:
Donati-Martin, Catherine and
Lejay, Antoine and
Rouault , Alain, (eds.)
Séminaire De Probabilités Xliii. Lecture Notes in Mathematics (2006). Springer, Berlin, Germany, 413-436. ISBN 9783642152160