3 papers
q-fin.MF2026
Cash-invariant hull representation of divergence preferences
Aleš Černý, Johannes Ruf, Martin Schweizer
Uniformly weighted divergence preferences (UWDP) introduced in Maccheroni et al. (2006) are an important class of risk-averse preferences that contain as a special case the monoton…
q-fin.PM2020
The Hansen ratio in mean--variance portfolio theory
Aleš Černý
It is shown that the ratio between the mean and the -norm leads to a particularly parsimonious description of the mean-variance efficient frontier and the dual pricing kernel…
q-fin.MF2016
Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model
Aleš Černý
We examine optimal quadratic hedging of barrier options in a discretely sampled exponential Lévy model that has been realistically calibrated to reflect the leptokurtic nature of e…