Walter Schachermayer

According to our database, Walter Schachermayer authored at least 14 papers between 1997 and 2021.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of three.

2021

Trajectorial dissipation and gradient flow for the relative entropy in Markov chains.

Ioannis Karatzas, Jan Maas, Walter Schachermayer

Commun. Inf. Syst., 2021

2020

Theoretical and empirical analysis of trading activity.

Mathias Pohl, Alexander Ristig, Walter Schachermayer, Ludovic Tangpi

Math. Program., 2020

2018

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

Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang

Finance Stochastics, 2018

2017

Erratum to: Utility maximization in incomplete markets with random endowment.

Jaksa Cvitanic, Walter Schachermayer, Hui Wang

Finance Stochastics, 2017

The space of outcomes of semi-static trading strategies need not be closed.

Beatrice Acciaio, Martin Larsson, Walter Schachermayer

Finance Stochastics, 2017

2014

Transaction Costs, Shadow Prices, and Duality in Discrete Time.

Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer

SIAM J. Financial Math., 2014

Transaction costs, trading volume, and the liquidity premium.

Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer

Finance Stochastics, 2014

On the duality theory for the Monge?Kantorovich transport problem.

Mathias Beiglböck, Christian Léonard, Walter Schachermayer

Proceedings of the Optimal Transport - Theory and Applications., 2014

2013

The dual optimizer for the growth-optimal portfolio under transaction costs.

Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer

Finance Stochastics, 2013

2009

In which financial markets do mutual fund theorems hold true?

Walter Schachermayer, Mihai Sîrbu, Erik Taflin

Finance Stochastics, 2009

2006

A super-replication theorem in Kabanov's model of transaction costs.

Luciano Campi, Walter Schachermayer

Finance Stochastics, 2006

2003

A super-martingale property of the optimal portfolio process.

Walter Schachermayer

Finance Stochastics, 2003

2001

Utility maximization in incomplete markets with random endowment.

Jaksa Cvitanic, Walter Schachermayer, Hui Wang

Finance Stochastics, 2001

1997

Weighted norm inequalities and hedging in incomplete markets.

Freddy Delbaen, Pascale Monat, Walter Schachermayer, Martin Schweizer, Christophe Stricker

Finance Stochastics, 1997