Items where Author is "Schachermayer, Walter"

Number of items: 8.
  • Duality theory for portfolio optimisation under transaction costs. Czichowsky, Christoph; Schachermayer, Walter
  • Portfolio optimisation beyond semimartingales:shadowprices and fractional Brownian motion. Czichowsky, Christoph; Schachermayer, Walter
  • Shadow prices for continuous processes. Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian
  • Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Czichowsky, Christoph Johannes; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
  • Strong supermartingales and limits of non-negative martingales. Czichowsky, Christoph; Schachermayer, Walter
  • Transaction costs and shadow prices in discrete time. Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
  • Transaction costs, shadow prices, and duality in discrete time. Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
  • The space of outcomes of semi-static trading strategies need not be closed. Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter