Johannes Muhle-Karbe

University of Michigan at Ann Arbor

500 S. State Street

Ann Arbor, MI 48109

United States

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 10,472

SSRN RANKINGS

Top 10,472

in Total Papers Downloads

3,626

CITATIONS
Rank 25,491

SSRN RANKINGS

Top 25,491

in Total Papers Citations

10

Scholarly Papers (25)

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 University of Michigan at Ann Arbor
Downloads 406 (49,209)

Abstract:

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

2.

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, University of Michigan at Ann Arbor and Universität Wien, Fakultät für Mathematik
Downloads 341 (61,683)
Citation 2

Abstract:

transaction costs, long-run, portfolio choice, liquidity premium, trading volume

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 University of Michigan at Ann Arbor
Downloads 180 (137,545)

Abstract:

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 University of Michigan at Ann Arbor
Downloads 0

Abstract:

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

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 University of Michigan at Ann Arbor
Downloads 158 (154,529)
Citation 1

Abstract:

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 University of Michigan at Ann Arbor
Downloads 0
Citation 1

Abstract:

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 University of Michigan at Ann Arbor
Downloads 144 (167,472)

Abstract:

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 University of Michigan at Ann Arbor
Downloads 0

Abstract:

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

6.

Who Should Sell Stocks?

Number of pages: 41 Posted: 07 Sep 2014 Last Revised: 26 Apr 2016
Paolo Guasoni, Ren Liu and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics, ETH Zürich and University of Michigan at Ann Arbor
Downloads 127 (122,481)

Abstract:

transaction costs, dividends, long-run, portfolio choice

7.

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 Michigan at Ann Arbor, University of Michigan at Ann Arbor and University of Trier
Downloads 111 (102,462)

Abstract:

volatility uncertainty, ambiguity aversion, option pricing and hedging, 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
ETH Zurich and University of Michigan at Ann Arbor
Downloads 107 (147,922)

Abstract:

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

9.

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: 02 Nov 2016
Johannes Muhle-Karbe and Kevin Webster
University of Michigan at Ann Arbor and Princeton University
Downloads 103 (71,344)

Abstract:

high frequency trading, information asymmetry, inventory management

10.

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
University of Michigan at Ann Arbor, University of Vienna and University of Vienna
Downloads 100 (203,101)

Abstract:

11.

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, University of Michigan at Ann Arbor and ETH Zürich
Downloads 98 (182,475)

Abstract:

price impact, portfolio choice, asymptotics, homogenization

12.

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, University of Michigan at Ann Arbor and ETH Zürich
Downloads 94 (217,142)
Citation 2

Abstract:

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

13.

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 University of Michigan at Ann Arbor
Downloads 86 (232,770)
Citation 5

Abstract:

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, University of Michigan at Ann Arbor and London School of Economics & Political Science (LSE)
Downloads 74 (268,793)

Abstract:

long run, portfolio choice, incentives, executive compensation

15.

Rebalancing with Linear and Quadratic Costs

Swiss Finance Institute Research Paper No. 14-16
Number of pages: 30 Posted: 28 Feb 2014 Last Revised: 12 Apr 2017
Ren Liu, Johannes Muhle-Karbe and Marko Weber
ETH Zürich, University of Michigan at Ann Arbor and Dublin City University - School of Mathematical Sciences
Downloads 65 (220,243)

Abstract:

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

16.

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 University of Michigan at Ann Arbor
Downloads 30 (359,170)

Abstract:

Limit order markets, optimal liquidity provision, asymptotics.

17.

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 University of Michigan at Ann Arbor
Downloads 24 (349,237)

Abstract:

Limit order books; price impact; high-resilience limit

18.

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, University of Michigan at Ann Arbor and Universität Wien, Fakultät für Mathematik
Downloads 21 (410,995)

Abstract:

transaction costs, utility maximization, shadow price, convex duality

19.

Sensitivity of Optimal Consumption Streams

Swiss Finance Institute Research Paper No. 15-27
Number of pages: 29 Posted: 14 Aug 2015 Last Revised: 22 Feb 2017
Martin Herdegen and Johannes Muhle-Karbe
University of Warwick - Department of Statistics and University of Michigan at Ann Arbor
Downloads 20 (236,119)

Abstract:

optimal consumption, random endowment, asymptotic analysis

20.

Portfolio Choice with Small Temporary and Transient Price Impact

Number of pages: 42 Posted: 02 May 2017
Ibrahim Ekren and Johannes Muhle-Karbe
ETH Zurich and University of Michigan at Ann Arbor
Downloads 0 (436,052)

Abstract:

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

21.

Stability of Radner Equilibria with Respect to Small Frictions

Number of pages: 53 Posted: 21 Feb 2017 Last Revised: 08 Apr 2017
Martin Herdegen and Johannes Muhle-Karbe
University of Warwick - Department of Statistics and University of Michigan at Ann Arbor
Downloads 0 (307,934)

Abstract:

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

22.

A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing

Number of pages: 15 Posted: 31 Dec 2016
Johannes Muhle-Karbe and Marcel Nutz
University of Michigan at Ann Arbor and Columbia University
Downloads 0 (420,665)

Abstract:

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

23.

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
University of Michigan at Ann Arbor, ETH Zurich and ETH Zürich
Downloads 0 (256,035)

Abstract:

24.

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

Finance and Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 15-52
Number of pages: 44 Posted: 24 Nov 2015 Last Revised: 17 Apr 2017
Sebastian Herrmann and Johannes Muhle-Karbe
University of Michigan at Ann Arbor and University of Michigan at Ann Arbor
Downloads 0 (121,361)

Abstract:

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

25.

Optimal Rebalancing Frequencies for Multidimensional Portfolios

Swiss Finance Institute Research Paper No. 15-44
Number of pages: 25 Posted: 18 Oct 2015 Last Revised: 24 May 2017
Ibrahim Ekren, Ren Liu and Johannes Muhle-Karbe
ETH Zurich, ETH Zürich and University of Michigan at Ann Arbor
Downloads 0 (159,607)

Abstract:

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