Christoph Czichowsky

Assistant Professor

Address

Dr. Christoph Czichowsky 

London School of Economics and Political Science

Department of Mathematics

Columbia House, COL 3.11

Houghton Street 10

London WC2 2AE

United Kingdom


Contact Information

Email: c.czichowsky@lse.ac.uk 

Phone: +44 20 3486 2954


Publications and Preprints

C. Czichowsky, J. Muhle-Karbe and W. Schachermayer (2013)

"Transaction Costs and Shadow Prices in Discrete Time"

Preprint. Submitted.


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 4, 2013