Carnegie Mellon University

Johannes Muhle-Karbe

Associate Professor

8402 Wean Hall
Department of Mathematical Sciences
Carnegie Mellon University
5000 Forbes Avenue
Pittsburgh, PA 15213



Charles V. Coffman


Ph.D.Technical University of Munich

Postdoctoral Appointments:

  • University of Vienna


Mathematical Finance (in particular, market frictions and equilibrium models), Stochastic Processes, Stochastic Optimization.

Select Publications

Bouchard, B., Fukasawa, M., Herdegen, M. and Muhle-Karbe, J. Equilibrium returns with transaction costs.  Finance and Stochastics.

Guasoni, P., Liu, R. and Muhle-Karbe, J. Who should sell stocks? Mathematical Finance.

Muhle-Karbe, J. and Nutz, M. (2018). A risk-neutral equilibrium leading to uncertain volatility pricing. Finance and Stochastics, 22(2), 281–295.

Herdegen, M. and Muhle-Karbe, J. (2018). Stability of Radner equilibria with respect to small frictions. Finance and Stochastics, 22(2), 443–502.

Liu, R., Muhle-Karbe, J. and Weber, M. (2017). Rebalancing with linear and quadratic costs. SIAM Journal on Control and Optimization, 55(6), 3533–3563.

Herrmann, S. and Muhle-Karbe, J. (2017). Model uncertainty, recalibration, and the emergence of delta-vega hedging. Finance and Stochastics, 21(4), 873–930.

Kallsen, J. and Muhle-Karbe, J. (2017). The general structure of optimal investment and consumption with small transaction costs. Mathematical Finance, 27(3): 659–703.

Moreau, L., Muhle-Karbe, J. and Soner, H.M. (2017). Trading with small price impact. Mathematical Finance, 27(2), 350–400.

Altarovici, A., Muhle-Karbe, J. and Soner, H.M. (2015). Asymptotics for fixed transaction costs. Finance and Stochastics, 19(2), 363–414.

Gerhold, S., Guasoni, P., Muhle-Karbe, J. and Schachermayer, W. (2014). Transaction costs, trading volume, and the liquidity premium. Finance and Stochastics 18(1), 1–37.

Keller-Ressel, M. and Muhle-Karbe, J. (2013). Asymptotic and exact pricing of options on variance. Finance and Stochastics 17(1), 107–133.

Kallsen, J. and Muhle-Karbe, J. (2010). On using shadow prices in portfolio optimization with transaction costs. The Annals of Applied Probability 20(4), 1341–1358.