Johannes Muhle-Karbe

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

34

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Scholarly Papers (34)

1.

Portfolio Choice with Transaction Costs: A User's Guide

Boston U. School of Management Research Paper No. 2012-22
Number of pages: 26 Posted: 01 Aug 2012 Last Revised: 21 Aug 2012
Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics and Imperial College London - Department of Mathematics
Downloads 512 (53,760)
Citation 1

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transaction costs, long-run, portfolio choice, Merton problem

2.

Information and Inventories in High-Frequency Trading

Swiss Finance Institute Research Paper No. 15-35
Number of pages: 15 Posted: 02 Sep 2015 Last Revised: 04 Sep 2017
Johannes Muhle-Karbe and Kevin Webster
Imperial College London - Department of Mathematics and Princeton University
Downloads 463 (61,046)

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high frequency trading, information asymmetry, inventory management

3.

Transaction Costs, Trading Volume, and the Liquidity Premium

Boston U. School of Management Research Paper No. 2011-16
Number of pages: 30 Posted: 04 Aug 2011 Last Revised: 05 Feb 2013
Vienna University of Technology, Boston University - Department of Mathematics and Statistics, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 404 (71,957)
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transaction costs, long-run, portfolio choice, liquidity premium, trading volume

4.
Downloads 309 ( 97,289)

Who Should Sell Stocks?

Number of pages: 34 Posted: 07 Sep 2014 Last Revised: 02 Nov 2017
Paolo Guasoni, Ren Liu and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 309 (97,092)

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transaction costs, dividends, long-run, portfolio choice

5.

Hedging with Small Uncertainty Aversion

Finance and Stochastics, Vol. 21, No. 1, pp. 1-64, 2017, Swiss Finance Institute Research Paper No. 15-19
Number of pages: 48 Posted: 03 Jul 2015 Last Revised: 17 Apr 2017
Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
University of Manchester, Imperial College London - Department of Mathematics and University of Trier
Downloads 269 (113,254)

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volatility uncertainty, ambiguity aversion, option pricing and hedging, asymptotics

6.

Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging

Finance and Stochastics, Vol. 21, No. 4, pp. 873-930, 2017, Swiss Finance Institute Research Paper No. 15-52
Number of pages: 44 Posted: 24 Nov 2015 Last Revised: 18 Nov 2017
Sebastian Herrmann and Johannes Muhle-Karbe
University of Manchester and Imperial College London - Department of Mathematics
Downloads 247 (123,765)
Citation 1

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model uncertainty, recalibration, delta-vega hedging, small uncertainty aversion, asymptotics

Option Pricing and Hedging with Small Transaction Costs

Swiss Finance Institute Research Paper No. 12-30
Number of pages: 23 Posted: 18 Sep 2012 Last Revised: 20 Dec 2012
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 195 (155,370)
Citation 1

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transaction costs, indifference pricing and hedging, exponential utility, asymptotics

Option Pricing and Hedging with Small Transaction Costs

Mathematical Finance, Vol. 25, Issue 4, pp. 702-723, 2015
Number of pages: 22 Posted: 14 Sep 2015
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
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transaction costs, indifference pricing and hedging, exponential utility, asymptotics

8.

Liquidation with Self-Exciting Price Impact

Swiss Finance Institute Research Paper No. 14-74
Number of pages: 12 Posted: 20 Dec 2014
Thomas Cayé and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
Downloads 190 (159,236)

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optimal liquidation, price impact, self-excitement, risk aversion

9.

Optimal Rebalancing Frequencies for Multidimensional Portfolios

Swiss Finance Institute Research Paper No. 15-44
Number of pages: 25 Posted: 18 Oct 2015 Last Revised: 14 Sep 2017
Ibrahim Ekren, Ren Liu and Johannes Muhle-Karbe
Florida State University, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 174 (172,337)

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transaction costs, optimal trading frequency, optimal investment, multiple assets

10.

Equilibrium Returns with Transaction Costs

Number of pages: 27 Posted: 29 Jul 2017 Last Revised: 13 Mar 2018
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 172 (174,032)

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equilibrium, transaction costs, liquidity premium

Long Horizons, High Risk-Aversion, and Endogenous Spreads

Boston U. School of Management Research Paper No. 2011-18
Number of pages: 27 Posted: 05 Oct 2011 Last Revised: 01 Feb 2013
Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics and Imperial College London - Department of Mathematics
Downloads 168 (177,816)
Citation 1

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transaction costs, long-run, portfolio choice, exponential utility, trading volume

Long Horizons, High Risk Aversion, and Endogenous Spreads

Mathematical Finance, Vol. 25, Issue 4, pp. 724-753, 2015
Number of pages: 30 Posted: 14 Sep 2015
Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics and Imperial College London - Department of Mathematics
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transaction costs, long‐run portfolio choice, exponential utility, trading volume

The General Structure of Optimal Investment and Consumption with Small Transaction Costs

Swiss Finance Institute Research Paper No. 13-15
Number of pages: 41 Posted: 09 Apr 2013 Last Revised: 16 May 2015
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 157 (188,470)
Citation 8

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transaction costs, optimal investment and consumption, trading volume, asymptotics

The General Structure of Optimal Investment and Consumption with Small Transaction Costs

Mathematical Finance, Vol. 27, Issue 3, pp. 659-703, 2017
Number of pages: 45 Posted: 15 Jun 2017
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
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transaction costs, optimal investment and consumption, trading volume, asymptotics

13.

Trading with Small Nonlinear Price Impact

Number of pages: 41
Thomas Cayé, Martin Herdegen and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
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Nonlinear Price Impact, Portfolio Choice, Asymptotics

14.

Trading with Small Price Impact

Swiss Finance Institute Research Paper No. 14-17
Number of pages: 48 Posted: 01 Mar 2014 Last Revised: 11 Apr 2017
Ludovic Moreau, Johannes Muhle-Karbe and Halil Mete Soner
ETH Zurich - Department of Mathematics, Imperial College London - Department of Mathematics and ETH Zürich
Downloads 146 (199,858)
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price impact, portfolio choice, asymptotics, homogenization

15.

Sensitivity of Optimal Consumption Streams

Swiss Finance Institute Research Paper No. 15-27
Number of pages: 29 Posted: 14 Aug 2015 Last Revised: 14 Sep 2017
Martin Herdegen and Johannes Muhle-Karbe
University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 130 (219,392)
Citation 1

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optimal consumption, random endowment, asymptotic analysis

16.

Rebalancing with Linear and Quadratic Costs

Swiss Finance Institute Research Paper No. 14-16
Number of pages: 30 Posted: 28 Feb 2014 Last Revised: 04 Sep 2017
Ren Liu, Johannes Muhle-Karbe and Marko Weber
ETH Zürich, Imperial College London - Department of Mathematics and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 127 (223,373)

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price impact, transaction costs, portfolio choice, long-run

A Primer on Portfolio Choice with Small Transaction Costs

Swiss Finance Institute Research Paper No. 16-74
Number of pages: 32 Posted: 07 Dec 2016
Johannes Muhle-Karbe, Max Reppen and Halil Mete Soner
Imperial College London - Department of Mathematics, ETH Zurich and ETH Zürich
Downloads 120 (234,086)
Citation 1

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A Primer on Portfolio Choice with Small Transaction Costs

Annual Review of Financial Economics, Vol. 9, pp. 301-331, 2017
Posted: 03 Jan 2018
Johannes Muhle-Karbe, Max Reppen and H. Mete Soner
Imperial College London - Department of Mathematics, ETH Zurich and ETH Zurich - Department of Mathematics

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18.

Stability of Radner Equilibria with Respect to Small Frictions

Number of pages: 54 Posted: 21 Feb 2017 Last Revised: 21 Sep 2017
Martin Herdegen and Johannes Muhle-Karbe
University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 118 (236,079)
Citation 2

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Trading costs, Radner equilibrium, asymptotics, stability, transaction tax

19.

Utility Maximization, Risk Aversion, and Stochastic Dominance

Swiss Finance Institute Research Paper No. 11-18
Number of pages: 17 Posted: 04 May 2011 Last Revised: 22 Sep 2011
Johannes Muhle-Karbe, Mathias Beiglböck and Johannes Temme
Imperial College London - Department of Mathematics, University of Vienna and University of Vienna
Downloads 118 (236,079)

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20.

Asymptotics for Fixed Transaction Costs

Swiss Finance Institute Research Paper No. 13-35
Number of pages: 37 Posted: 19 Jun 2013
Albert Altarovici, Johannes Muhle-Karbe and Halil Mete Soner
ETH Zurich, Imperial College London - Department of Mathematics and ETH Zürich
Downloads 117 (237,558)
Citation 3

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fixed transaction costs, optimal investment and consumption, homogenization, viscosity solutions, asymptotic expansions

21.

Asymptotic and Exact Pricing of Options on Variance

Number of pages: 22 Posted: 20 Nov 2010 Last Revised: 15 Dec 2010
Martin Keller-Ressel and Johannes Muhle-Karbe
Dresden University of Technology - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 94 (276,096)
Citation 5

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Realized Variance, Quadratic Variation, Option Pricing, Small-Time Asymptotics, Fourier-Laplace Methods

Robust Portfolios and Weak Incentives in Long Run Investments

Boston U. School of Management Research Paper No. 2013-5
Number of pages: 35 Posted: 11 Jun 2013 Last Revised: 08 Oct 2013
Paolo Guasoni, Johannes Muhle-Karbe and Hao Xing
Boston University - Department of Mathematics and Statistics, Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE)
Downloads 86 (294,666)

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long run, portfolio choice, incentives, executive compensation

23.

Portfolio Choice with Small Temporary and Transient Price Impact

Number of pages: 44 Posted: 02 May 2017 Last Revised: 09 Mar 2018
Ibrahim Ekren and Johannes Muhle-Karbe
Florida State University and Imperial College London - Department of Mathematics
Downloads 58 (362,757)

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Portfolio Choice, Temporary Price Impact, Transient Price Impact, Asymptotics

24.

High-Resilience Limits of Block-Shaped Order Books

Swiss Finance Institute Research Paper No. 14-72
Number of pages: 12 Posted: 27 Sep 2014
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 56 (369,075)
Citation 3

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Limit order books; price impact; high-resilience limit

25.

Optimal Trading with General Signals and Liquidation in Target Zone Models

Number of pages: 8 Posted: 15 Aug 2018
Christoph Belak, Johannes Muhle-Karbe and Kevin Ou
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 54 (375,455)

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optimal trading, inventory costs, market impact, liquidation, target zone models

26.

Inventory Management for High-Frequency Trading With Imperfect Competition

Number of pages: 25 Posted: 29 Aug 2018 Last Revised: 04 Jun 2019
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang and Chen Yang
University of Manchester, Imperial College London - Department of Mathematics, Boston University - Questrom School of Business and ETH Zurich - Department of Mathematics
Downloads 52 (381,798)

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High-Frequency Trading, Information Asymmetry, Inventory Management, Imperfect Competition

27.

Optimal Liquidity Provision

Swiss Finance Institute Research Paper No. 13-71
Number of pages: 24 Posted: 07 Feb 2014 Last Revised: 01 Nov 2016
Christoph Kühn and Johannes Muhle-Karbe
Goethe University Frankfurt and Imperial College London - Department of Mathematics
Downloads 48 (395,332)

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Limit order markets, optimal liquidity provision, asymptotics.

28.

A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing

Number of pages: 18 Posted: 31 Dec 2016 Last Revised: 05 Jan 2018
Johannes Muhle-Karbe and Marcel Nutz
Imperial College London - Department of Mathematics and Columbia University
Downloads 47 (398,735)

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Heterogeneous Beliefs, Equilibrium, Derivative Price Bubble, Uncertain Volatility Model, Nonlinear Expectation

29.

Equilibrium Asset Pricing with Transaction Costs

Number of pages: 29 Posted: 11 Feb 2019 Last Revised: 19 Jun 2019
Martin Herdegen, Johannes Muhle-Karbe and Dylan Possamaï
University of Warwick - Department of Statistics, Imperial College London - Department of Mathematics and Columbia University
Downloads 45 (405,851)
Citation 2

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Asset Pricing, Radner Equilibrium, Transaction Costs, Forward-Backward SDEs

30.

Asset Pricing with General Transaction Costs: Theory and Numerics

Number of pages: 38 Posted: 03 Jun 2019 Last Revised: 09 Jun 2019
Lukas Gonon, Johannes Muhle-Karbe and Xiaofei Shi
ETH Zurich, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 31 (462,872)

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Radner equilibrium, transaction costs, forward-backward SDEs, deep learning

31.

Transaction Costs and Shadow Prices in Discrete Time

Swiss Finance Institute Research Paper No. 13-51
Number of pages: 20 Posted: 19 Oct 2013
Christoph Czichowsky, Johannes Muhle-Karbe and Walter Schachermayer
Vienna University of Technology, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 30 (467,651)
Citation 2

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transaction costs, utility maximization, shadow price, convex duality

32.

Asset Pricing with Heterogeneous Beliefs and Illiquidity

Number of pages: 35 Posted: 04 Jun 2019
Johannes Muhle-Karbe, Marcel Nutz and Xiaowei Tan
Imperial College London - Department of Mathematics, Columbia University and Columbia University - Department of Mathematics
Downloads 25 (493,569)

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Equilibrium, Liquidity, Heterogeneous Beliefs

33.

Liquidity in Competitive Dealer Markets

Number of pages: 26 Posted: 08 Aug 2018
Peter Bank, Ibrahim Ekren and Johannes Muhle-Karbe
Humboldt University of Berlin - Department of Mathematics, Florida State University and Imperial College London - Department of Mathematics
Downloads 22 (510,637)
Citation 1

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dealer market, dynamic equilibrium, endogenous liquidity

34.

Switching Cost Models as Hypothesis Tests

CAMA Working Paper No. 40/2018
Number of pages: 14 Posted: 14 Sep 2018
University of Oxford - Mathematical Institute, Australian National University (Centre for Applied Macroeconomic Analysis), University of Technology Sydney (UTS) - School of Finance and Economics, Imperial College London - Department of Mathematics and University of Queensland
Downloads 3 (630,313)

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Inference, switching cost, inferential expectations, hypothesis test.