Details about Aleš Černý

Access statistics for papers by Aleš Černý.

Last updated 2025-03-28. Update your information in the RePEc Author Service.

Short-id: pxx23

Working Papers

2025

1. Dynamically optimal portfolios for monotone mean--variance preferences
   Papers, arXiv.org

2024

2. The law of one price in quadratic hedging and mean-variance portfolio selection
   Papers, arXiv.org

2023

3. Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
   Papers, arXiv.org
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2021)
   See also Journal Article Numeraire-Invariant Quadratic Hedging and Mean–Variance Portfolio Allocation, Mathematics of Operations Research, INFORMS (2024) (2024)
4. Simplified calculus for semimartingales: Multiplicative compensators and changes of measure
   Papers, arXiv.org View citations (4)
   See also Journal Article Simplified calculus for semimartingales: Multiplicative compensators and changes of measure, Stochastic Processes and their Applications, Elsevier (2023) (2023)

2022

5. Simplified stochastic calculus via semimartingale representations
   Papers, arXiv.org View citations (3)

2021

6. Simplified stochastic calculus with applications in Economics and Finance
   Papers, arXiv.org View citations (1)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2020)
   See also Journal Article Simplified stochastic calculus with applications in Economics and Finance, European Journal of Operational Research, Elsevier (2021) View citations (1) (2021)

2020

7. Semimartingale theory of monotone mean--variance portfolio allocation
   Papers, arXiv.org
   See also Journal Article Semimartingale theory of monotone mean–variance portfolio allocation, Mathematical Finance, Wiley Blackwell (2020) View citations (4) (2020)
8. The Hansen ratio in mean--variance portfolio theory
   Papers, arXiv.org

2019

9. Simple Explicit Formula for Near-Optimal Stochastic Lifestyling
   Papers, arXiv.org
   See also Journal Article Simple explicit formula for near-optimal stochastic lifestyling, European Journal of Operational Research, Elsevier (2020) View citations (1) (2020)

2017

10. Hedging in L\'evy Models and the Time Step Equivalent of Jumps
    Papers, arXiv.org View citations (4)
11. On the Structure of General Mean-Variance Hedging Strategies
    Papers, arXiv.org View citations (17)
12. Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions
    Papers, arXiv.org
    See also Journal Article Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions, European Journal of Operational Research, Elsevier (2018) View citations (6) (2018)

2016

13. Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model
    Papers, arXiv.org

2010

14. Admissible Strategies in Semimartingale Portfolio Selection
    Papers, arXiv.org
    Also in Carlo Alberto Notebooks, Collegio Carlo Alberto (2010)

2008

15. On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (1)
    See also Journal Article On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility, Journal of Mathematical Economics, Elsevier (2012) View citations (5) (2012)

2006

16. Optimal Hedging with Higher Moments
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (8)

2001

17. Risk, Return and Portfolio Allocation under Alternative Pension Arrangements with Imperfect Financial Markets
    CESifo Working Paper Series, CESifo View citations (1)

Journal Articles

2025

1. On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment analysis models
   European Journal of Operational Research, 2025, 320, (1), 175-187

2024

2. A unified approach to radial, hyperbolic, and directional efficiency measurement in data envelopment analysis
   European Journal of Operational Research, 2024, 312, (1), 298-314 View citations (1)
3. Numeraire-Invariant Quadratic Hedging and Mean–Variance Portfolio Allocation
   Mathematics of Operations Research, 2024, 49, (2), 752-781
   See also Working Paper Numeraire-invariant quadratic hedging and mean--variance portfolio allocation, Papers (2023) (2023)

2023

4. Simplified calculus for semimartingales: Multiplicative compensators and changes of measure
   Stochastic Processes and their Applications, 2023, 161, (C), 572-602
   See also Working Paper Simplified calculus for semimartingales: Multiplicative compensators and changes of measure, Papers (2023) View citations (4) (2023)

2021

5. Simplified stochastic calculus with applications in Economics and Finance
   European Journal of Operational Research, 2021, 293, (2), 547-560 View citations (1)
   See also Working Paper Simplified stochastic calculus with applications in Economics and Finance, Papers (2021) View citations (1) (2021)

2020

6. Convex duality and Orlicz spaces in expected utility maximization
   Mathematical Finance, 2020, 30, (1), 85-127 View citations (4)
7. Semimartingale theory of monotone mean–variance portfolio allocation
   Mathematical Finance, 2020, 30, (3), 1168-1178 View citations (4)
   See also Working Paper Semimartingale theory of monotone mean--variance portfolio allocation, Papers (2020) (2020)
8. Simple explicit formula for near-optimal stochastic lifestyling
   European Journal of Operational Research, 2020, 284, (2), 769-778 View citations (1)
   See also Working Paper Simple Explicit Formula for Near-Optimal Stochastic Lifestyling, Papers (2019) (2019)

2018

9. Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions
   European Journal of Operational Research, 2018, 264, (3), 1159-1171 View citations (6)
   See also Working Paper Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions, Papers (2017) (2017)

2013

10. MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING
    ASTIN Bulletin, 2013, 43, (3), 301-322 View citations (9)

2012

11. On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility
    Journal of Mathematical Economics, 2012, 48, (6), 386-395 View citations (5)
    See also Working Paper On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility, Carlo Alberto Notebooks (2008) View citations (1) (2008)

2010

12. An improved convolution algorithm for discretely sampled Asian options
    Quantitative Finance, 2010, 11, (3), 381-389 View citations (2)
13. The impact of changing demographics and pensions on the demand for housing and financial assets*
    Journal of Pension Economics and Finance, 2010, 9, (3), 393-420 View citations (4)

2009

14. Preface
    Review of Derivatives Research, 2009, 12, (1), 1-2

2008

15. A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
    Mathematical Finance, 2008, 18, (2), 305-316 View citations (5)
16. MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
    Mathematical Finance, 2008, 18, (3), 473-492 View citations (15)

2007

17. OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
    Mathematical Finance, 2007, 17, (2), 175-203 View citations (3)

2006

18. Risk, Return and Portfolio Allocation under Alternative Pension Systems with Incomplete and Imperfect Financial Markets
    Economic Journal, 2006, 116, (511), 529-557 View citations (20)

2004

19. Dynamic programming and mean-variance hedging in discrete time
    Applied Mathematical Finance, 2004, 11, (1), 1-25 View citations (6)

2003

20. Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets
    Review of Finance, 2003, 7, (2), 191-233 View citations (27)

1995

21. Antidumping Constraints and Trade Elimination
    Swiss Journal of Economics and Statistics (SJES), 1995, 131, (III), 441-452

Chapters

2004

1. Alternative pension reform strategies for Japan
   Chapter 4 in The Economics of Social Security in Japan, 2004 View citations (1)