Johannes Muhle-Karbe

Carnegie Mellon University - Department of Mathematical Sciences

Pittsburgh, PA 15213-3890

United States

SCHOLARLY PAPERS

26

DOWNLOADS
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3,804

CITATIONS
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Top 25,522

in Total Papers Citations

10

Scholarly Papers (26)

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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 406 (48,566)

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, Carnegie Mellon University - Department of Mathematical Sciences and Universität Wien, Fakultät für Mathematik
Downloads 341 (62,102)
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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 182 (139,069)

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 Carnegie Mellon University - Department of Mathematical Sciences
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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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 159 (156,904)
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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 0
Citation 1
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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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 147 (167,888)

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 Carnegie Mellon University - Department of Mathematical Sciences
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Abstract:

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

6.

Who Should Sell Stocks?

Number of pages: 34 Posted: 07 Sep 2014 Last Revised: 21 Sep 2017
Paolo Guasoni, Ren Liu and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics, ETH Zürich and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 127 (117,183)

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, Carnegie Mellon University - Department of Mathematical Sciences and University of Trier
Downloads 111 (102,922)

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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 107 (149,429)

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: 04 Sep 2017
Johannes Muhle-Karbe and Kevin Webster
Carnegie Mellon University - Department of Mathematical Sciences and Princeton University
Downloads 103 (68,243)

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
Carnegie Mellon University - Department of Mathematical Sciences, University of Vienna and University of Vienna
Downloads 100 (207,281)

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, Carnegie Mellon University - Department of Mathematical Sciences and ETH Zürich
Downloads 98 (178,452)

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, Carnegie Mellon University - Department of Mathematical Sciences and ETH Zürich
Downloads 94 (209,948)
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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 86 (237,388)
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, Carnegie Mellon University - Department of Mathematical Sciences and London School of Economics & Political Science (LSE)
Downloads 75 (271,932)

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: 04 Sep 2017
Ren Liu, Johannes Muhle-Karbe and Marko Weber
ETH Zürich, Carnegie Mellon University - Department of Mathematical Sciences and Dublin City University - School of Mathematical Sciences
Downloads 65 (224,618)

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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 30 (366,231)

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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 24 (349,499)

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, Carnegie Mellon University - Department of Mathematical Sciences and Universität Wien, Fakultät für Mathematik
Downloads 21 (418,767)

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: 14 Sep 2017
Martin Herdegen and Johannes Muhle-Karbe
University of Warwick - Department of Statistics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 20 (235,776)

Abstract:

optimal consumption, random endowment, asymptotic analysis

20.

Equilibrium Returns with Transaction Costs

Number of pages: 26 Posted: 29 Jul 2017 Last Revised: 15 Sep 2017
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 0 (373,270)

Abstract:

equilibrium, transaction costs, liquidity premium

21.

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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 0 (418,767)

Abstract:

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

22.

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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 0 (284,544)

Abstract:

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

23.

A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing

Number of pages: 15 Posted: 31 Dec 2016
Johannes Muhle-Karbe and Marcel Nutz
Carnegie Mellon University - Department of Mathematical Sciences and Columbia University
Downloads 0 (388,343)

Abstract:

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

24.

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
Carnegie Mellon University - Department of Mathematical Sciences, ETH Zurich and ETH Zürich
Downloads 0 (235,776)

Abstract:

25.

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 Carnegie Mellon University - Department of Mathematical Sciences
Downloads 0 (116,684)

Abstract:

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

26.

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
ETH Zurich, ETH Zürich and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 0 (160,157)

Abstract:

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