Czichowsky, Christoph


Dr Christoph Czichowsky  

Department

Position held

Department of Mathematics

Assistant Professor

Experience keywords:

market frictions; stochastic optimal control; mean-variance portfolio optimisation; shadow prices; financial mathematics; stochastic analysis; optimal portfolio choice; transaction costs; duality

Sectors and industries to which research relates:

BankingFinancial Services

Languages:

German [Spoken: Fluent, Written: Fluent]

Contact Points

LSE phone number:

+44 (0)2034862954

Publications

LSE Research Online, Funnelback Search

2014

Czichowsky, Christoph and Muhle-Karbe, Johannes and Schachermayer, Walter (2014) Transaction costs, shadow prices, and duality in discrete time SIAM Journal on Financial Mathematics, 5 (1). 258-277. ISSN 1945-497X

2013

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

2012

Czichowsky, Christoph and Schweizer, Martin (2012) Convex duality in mean-variance hedging under convex trading constraints Advances in Applied Probability, 44 (4). 1084-1112. ISSN 0001-8678

2011

Czichowsky, Christoph Johannes (2011) Mean-variance portfolio optimisation: trading constraints and time consistency phd thesis, Eidgenössische Technische Hochschule ETH Zürich

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


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