Czichowsky, Christoph

Dr Christoph Czichowsky  

Department

Position held

Assistant Professor

 

Experience keywords:

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

Sectors and industries to which research relates:

Banking; Financial Services

Languages:

German [Spoken: Fluent, Written: Fluent]

Contact Points

LSE phone number:

+44 (0)2034862954

Publications

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 and Muhle-Karbe, Johannes and Schachermayer, Walter (2013) Transaction costs and shadow prices in discrete time The London School of Economics and Political Science, Department of Mathematics, London, UK.

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 (2013) Time-consistent mean-variance portfolio selection in discrete and continuous time Finance and Stochastics, 17 (2). 227-271. ISSN 0949-2984

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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