Christoph Czichowsky

Associate Professor

Address

Dr. Christoph Czichowsky 

London School of Economics and Political Science

Department of Mathematics

Columbia House, COL 3.11

London WC2A 2AE

United Kingdom


Contact Information

Email: c.czichowsky@lse.ac.uk 


Publications and Preprints

A. Cerny, C. Czichowsky and J. Kallsen (2021)

"Numeraire-invariant quadratic hedging and mean-variance portfolio allocation"

arXiv preprint 2110.09416, p. 1-35. Available at SSRN: https://ssrn.com/abstract=3944947


E. Bayraktar, C. Czichowsky, L. Dolinskyi and Y. Dolinsky (2021)

"A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios"

arXiv preprint arXiv:2107.01568, p. 1-10.  To appear in SIAM Journal on Financial Mathematics.


P. Iannone, C. Czichowsky and J. Ruf (2020)

"The impact of high stakes oral performance assessment on students' approaches to learning: a case study"

Educational Studies in Mathematics, Vol. 103, p. 313-337, 2020.


C. Czichowsky, R. Peyre, W. Schachermayer and J. Yang (2016)

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

Finance & Stochastics, Vol. 22, No. 1, p. 161-180, 2018.


C. Czichowsky and W. Schachermayer (2015)

"Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion"

Annals of Applied Probability, Vol. 27, No. 3, p. 1414-1451, 2017.


C. Czichowsky and W. Schachermayer (2014)

"Duality Theory for Portfolio Optimisation under Transaction Costs"

Annals of Applied Probability, Vol. 26, No. 3, p. 1888-1941, 2016.


C. Czichowsky, W. Schachermayer and J. Yang (2014)

"Shadow Prices for Continuous Processes"

Mathematical Finance, Vol. 27, No. 3, p. 623-658, 2017.


C. Czichowsky and W. Schachermayer (2013)

"Strong supermartingales and limits of non-negative martingales"

Annals of Probability, Vol. 44, No. 1, p. 171-205, 2016.


C. Czichowsky, J. Muhle-Karbe and W. Schachermayer (2012)

"Transaction Costs and Shadow Prices in Discrete Time"

SIAM Journal on Financial Mathematics, Vol. 5, No. 1, p. 258-277, 2014.


C. Czichowsky and M. Schweizer (2011) 

"Cone-Constrained Continuous-Time Markowitz Problems" 

Annals of Applied Probability, Vol. 23, No. 2, p. 764-810, 2013.


C. Czichowsky (2010, 2012) 

"Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time" 

Finance & Stochastics, Vol. 17, No. 2, p. 227-271, 2013.


C. Czichowsky and M. Schweizer (2012) 

"Convex Duality in Mean-Variance Hedging under Convex Trading Constraints" 

Advances in Applied Probability, Vol. 44, No. 4, p. 1048-1112, 2012.


C. Czichowsky and M. Schweizer (2011) 

"Closedness in the Semimartingale Topology for Spaces of Stochastic Integrals with Constrained Integrands" 

Séminaire de Probabilités XLIII, Lecture Notes in Mathematics 2006, p. 413-436. 


C. Czichowsky, N. Westray and H. Zheng (2011) 

"Convergence in the semimartingale topology and constrained portfolios" 

Séminaire de Probabilités XLIII, Lecture Notes in Mathematics 2006, p. 395-412. 


C. Czichowsky (2011) 

"Mean-Variance Portfolio Optimisation: Trading Constraints and Time Consistency" 

PhD Thesis, Diss. ETH No. 19561, ETH Zurich.



[Department of Mathematics]


Last update November 14, 2021.