Christoph Czichowsky

Assistant Professor

Address

Dr. Christoph Czichowsky 

London School of Economics and Political Science

Department of Mathematics

Columbia House, COL 3.11

London WC2 2AE

United Kingdom


Contact Information

Email: c.czichowsky@lse.ac.uk 

Phone: +44 20 3486 2954


Publications and Preprints

C. Czichowsky and W. Schachermayer (2014)

"Duality Theory for Portfolio Optimisation under Transaction Costs"

Preprint. Submitted.


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

"Shadow Prices for Continuous Processes"

Preprint. Submitted.


C. Czichowsky and W. Schachermayer (2013)

"Strong supermartingales and limits of non-negative martingales"

Preprint. Submitted.


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 August 29, 2014