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Johannes Muhle-Karbe

SSRN Author Rank: 11,642 by Downloads and 25,235 by Citations

 

University of Michigan at Ann Arbor


 500 S. State Street
 Ann Arbor, MI 48109
 United States
 email address

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. Johannes Muhle-Karbe's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
2,941
Total
Citations
10
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Portfolio Choice with Transaction Costs: A User's Guide | Show Abstract | Download This Paper | Open PDF in Browser |
Boston U. School of Management Research Paper No. 2012-22
Number of Pages in PDF File: 26
Guasoni, Paolo
Boston University - Department of Mathematics and Statistics
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
01 Aug 12
Last Revised:
21 Aug 12
406
(47,333)
 

2.  
Transaction Costs, Trading Volume, and the Liquidity Premium | Show Abstract | Download This Paper | Open PDF in Browser |
Boston U. School of Management Research Paper No. 2011-16
Number of Pages in PDF File: 30
Gerhold, Stefan
Vienna University of Technology
Guasoni, Paolo
Boston University - Department of Mathematics and Statistics
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Schachermayer, Walter
Universität Wien, Fakultät für Mathematik
Posted:
04 Aug 11
Last Revised:
05 Feb 13
341
(58,604)
2

3.   Incl. Electronic Paper
Kallsen, Jan
Munich University of Technology
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
18 Sep 12
Last Revised:
14 Sep 15
172
(128,516)
 

4.   Incl. Electronic Paper
Guasoni, Paolo
Boston University - Department of Mathematics and Statistics
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
05 Oct 11
Last Revised:
14 Sep 15
150
(144,790)
1

5.  
Guasoni, Paolo
Boston University - Department of Mathematics and Statistics
Liu, Ren
ETH Zürich
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
07 Sep 14
Last Revised:
26 Apr 16
127
(124,589)
 

6.  
Kallsen, Jan
Munich University of Technology
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
09 Apr 13
Last Revised:
16 May 15
123
(157,065)
 

7.  
Hedging with Small Uncertainty Aversion | Show Abstract | Download This Paper | Open PDF in Browser |
Finance and Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 15-19
Number of Pages in PDF File: 48
Herrmann, Sebastian
ETH Zurich
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Seifried, Frank Thomas
University of Trier
Posted:
03 Jul 15
Last Revised:
22 May 16
111
(116,184)
 

8.  
Liquidation with Self-Exciting Price Impact | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 14-74
Number of Pages in PDF File: 12
Cayé, Thomas
ETH Zurich
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
20 Dec 14
107
(152,526)
 

9.  
Information and Inventories in High-Frequency Trading | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 15-35
Number of Pages in PDF File: 16
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Webster, Kevin
Princeton University
Posted:
02 Sep 15
103
(99,202)
 

10.  
Utility Maximization, Risk Aversion, and Stochastic Dominance | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 11-18
Number of Pages in PDF File: 17
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Beiglböck, Mathias
University of Vienna
Temme, Johannes
University of Vienna
Posted:
04 May 11
Last Revised:
22 Sep 11
100
(190,717)
 

11.  
Trading with Small Price Impact | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 14-17
Number of Pages in PDF File: 48
Moreau, Ludovic
ETH Zurich - Department of Mathematics
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Soner, Halil Mete
ETH Zürich
Posted:
01 Mar 14
Last Revised:
02 Apr 15
98
(182,102)
 

12.  
Asymptotics for Fixed Transaction Costs | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-35
Number of Pages in PDF File: 37
Altarovici, Albert
ETH Zurich
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Soner, Halil Mete
ETH Zürich
Posted:
19 Jun 13
94
(202,886)
2

13.  
Keller-Ressel, Martin
Dresden University of Technology - Department of Mathematics
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
20 Nov 10
Last Revised:
15 Dec 10
86
(213,133)
5

14.  
Rebalancing with Linear and Quadratic Costs | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 14-16
Number of Pages in PDF File: 20
Liu, Ren
ETH Zürich
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Weber, Marko
Dublin City University - School of Mathematical Sciences
Posted:
28 Feb 14
Last Revised:
11 Mar 14
65
(216,160)
 

15.  
Robust Portfolios and Weak Incentives in Long Run Investments | Show Abstract | Download This Paper | Open PDF in Browser |
Boston U. School of Management Research Paper No. 2013-5
Number of Pages in PDF File: 35
Guasoni, Paolo
Boston University - Department of Mathematics and Statistics
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Xing, Hao
London School of Economics & Political Science (LSE)
Posted:
11 Jun 13
Last Revised:
08 Oct 13
55
(253,630)
 

16.  
Optimal Liquidity Provision | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-71
Number of Pages in PDF File: 24
Kühn, Christoph
Goethe University Frankfurt
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
07 Feb 14
Last Revised:
27 Feb 15
30
(330,339)
 

17.  
High-Resilience Limits of Block-Shaped Order Books | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 14-72
Number of Pages in PDF File: 12
Kallsen, Jan
Munich University of Technology
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
27 Sep 14
24
(340,296)
 

18.  
Transaction Costs and Shadow Prices in Discrete Time | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-51
Number of Pages in PDF File: 20
Czichowsky, Christoph
Vienna University of Technology
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Schachermayer, Walter
Universität Wien, Fakultät für Mathematik
Posted:
19 Oct 13
21
(376,298)
 

19.  
Sensitivity of Optimal Consumption Streams | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 15-27
Number of Pages in PDF File: 29
Herdegen, Martin
ETH Zurich
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
14 Aug 15
20
(255,727)
 

20.  
Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 15-52
Number of Pages in PDF File: 43
Herrmann, Sebastian
ETH Zurich
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
24 Nov 15
Last Revised:
18 Jul 16
0
(169,855)
 

21.  
Optimal Rebalancing Frequencies for Multidimensional Portfolios | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 15-44
Number of Pages in PDF File: 24
Ekren, Ibrahim
ETH Zurich
Liu, Ren
ETH Zürich
Muhle-Karbe, Johannes
University of Michigan at Ann Arbor
Posted:
18 Oct 15
0
(189,446)
 


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